Viterbi-Based Estimation for Markov Switching GARCH Model

Author: Elliott Robert J.   Lau John W.   Miao Hong   Kuen Siu Tak  

Publisher: Routledge Ltd

ISSN: 1466-4313

Source: Applied Mathematical Finance, Vol.19, Iss.3, 2012-07, pp. : 219-231

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Abstract