Markov-switching BILINEAR − GARCH models: Structure and estimation
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DOI: 10.1080/03610926.2017.1303732
Abstract: ABSTRACT Markov-switching (MS) models are becoming increasingly popular as efficient tools of modeling various phenomena in different disciplines, in particular for non Gaussian time series. In this articlept", we propose a broad class of Markov-switching… read more here.
Keywords: markov switching; markov; time; bilinear garch ... See more keywords