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Linear-representations based estimation of switching-regime GARCH models

C. Francq; J.-M. Zakoian
Year of publication:
1999
Authors: Francq, Christian ; Zakoïan, Jean-Michel
Publisher: [Paris]
Subject: Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Theorie | Theory | ARMA-Modell | ARMA model | Kleinste-Quadrate-Methode | Least squares method
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