MCMC-based estimation of Markov Switching ARMA-GARCH models

Author: Henneke Jan   Rachev Svetlozar   Fabozzi Frank   Nikolov Metodi  

Publisher: Routledge Ltd

ISSN: 1466-4283

Source: Applied Economics, Vol.43, Iss.3, 2011-02, pp. : 259-271

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract