Fourth moment structure of markov switching multivariate GARCH models

Maddalena Cavicchioli

Year of publication:	2021
Authors:	Cavicchioli, Maddalena
Subject:	Markov switching models \| conditional heteroscedasticity \| multivariate Markov switching GARCH models \| Markov switching VARMA representations \| fourth moments \| spectraldensity \| multivariate kurtosis \| volatility \| ARCH-Modell \| ARCH model \| Markov-Kette \| Markov chain \| Volatilität \| Volatility \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis \| Multivariate Analyse \| Multivariate analysis

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