Regime Switching GARCH Models-Reference-Cited by-同舟云学术

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Regime Switching GARCH Models

Published:2006 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Bauwens Luc,Preminger Arie,Rombouts J. V. K.

Publisher

Elsevier BV

Reference29 articles.

1. Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk;L Bauwens;Tinbergen Institute,1999

2. Bayesian Inference for the Mixed Conditional Heteroskedasticity Model

3. Regime-Switching in Foreign Exchange Rates: Evidence From Currency Option Prices;S Bollen;Journal of Econometrics,2000

4. Generalized Autoregressive Conditional Heteroskedasticity;T Bollerslev;Journal of Econometrics,1986

5. Quasi-maximum Likelihood Estimation and Inference in Dynamic Models with Time-varying Covariances;T Bollerslev;Econometric Reviews,1992

Cited by 21 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. Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation;Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics;2021

2. Confronting Machine Learning with Financial Research;SSRN Electronic Journal;2021

3. Bibliography;Linear Models and Time-Series Analysis;2018-11-26

4. Markov Switching Artificial Neural Networks for Modelling and Forecasting Volatility: An Application to Gold Market;Procedia Economics and Finance;2016

5. Bibliography;Handbook of Volatility Models and Their Applications;2012-03-27

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