Markov-Switching GARCH Models in R: The MSGARCH Package-Reference-Cited by-同舟云学术

Markov-Switching GARCH Models in R: The MSGARCH Package

Published:2016 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Ardia David,Bluteau Keven,Boudt Kris,Trottier Denis-Alexandre

Publisher

Elsevier BV

Reference66 articles.

1. A New Look at the Statistical Model Identification;H Akaike;IEEE Transactions on Automatic Control,1974

2. Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications;D Ardia;Lecture Notes in Economics and Mathematical Systems,2008

3. Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study;D Ardia;International Journal of Forecasting,2018

Cited by 23 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Estimating Extreme Value at Risk Using Bayesian Markov Regime Switching GARCH-EVT Family Models;Cryptocurrencies - Financial Technologies of the Future [Working Title];2024-02-08

2. An analysis of East African tea crop prices using the MCMC approach to estimate volatility and forecast the in-sample value-at-risk;Scientific African;2023-03

3. Examining stylized facts and trends of FTSE/JSE TOP40: a parametric and Non-Parametric approach;Data Science in Finance and Economics;2022

4. How Does Economic Policy Uncertainty Affect Stock Market Returns: Evidence from a Markov-Switching Model with Mixture Distribution Regimes;Credible Asset Allocation, Optimal Transport Methods, and Related Topics;2022

5. Predicting Extreme Daily Regime Shifts in Financial Time Series Exchange/Johannesburg Stock Exchange—All Share Index;International Journal of Financial Studies;2021-03-25