Long memory and regime switching in the stochastic volatility modelling
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/content/pdf/10.1007/s10479-020-03841-z.pdf
Reference54 articles.
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4. Bali, T. G., & Theodossiou, P. (2007). A conditional-SGT-VaR approach with alternative GARCH models. Annals of Operations Research, 151(1), 241–267.
5. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
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