Title of article
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
Author/Authors
Christian Francq، نويسنده , , Jean-Michel Zako?¨an، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
20
From page
3027
To page
3046
Keywords
Markov-switching models , HMM , ARMA representation , GARCH , GMM procedure
Journal title
Computational Statistics and Data Analysis
Serial Year
2008
Journal title
Computational Statistics and Data Analysis
Record number
308407
Link To Document