A mixtured localized likelihood method for GARCH models with multiple change-points
Prof. Haipeng Xing, Prof. Hongsong Yuan, Dr. Sichen Zhou
| Year of publication: |
May 2017
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|---|---|
| Authors: | Xing, Haipeng ; Yuan, Hongsong ; Zhou, Sichen |
| Published in: |
Review of economics & finance. - Toronto : Better Advances Press, ISSN 1923-7529, ZDB-ID 2637191-1. - Vol. 8.2017, 2, p. 44-60
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| Subject: | Localized likelihood | GARCH | Multiple change-points | Segmentation | ARCH-Modell | ARCH model | Theorie | Theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011672815