Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s11009-016-9541-4/fulltext.html
Reference46 articles.
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3. Augustyniak M (2014) Maximum likelihood estimation of the Markov-switching GARCH model. Comput. Stat Data Anal 76:61–75. CFEnetwork: The Annals of Computational and Financial Econometrics – 2nd Issue
4. Augustyniak M, Boudreault M (2012) An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial crisis of the late 2000s. N Am Actuar J 16(2):183–206
5. Bauwens L, Dufays A, Rombouts JVK (2014) Marginal likelihood for Markov-switching and change-point GARCH models. J Econ 178(part 3):508–522
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