Long memory with Markov-Switching GARCH
Year of publication: |
2008
|
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Authors: | Krämer, Walter |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | Zeitreihenanalyse | ARCH-Modell | Markovscher Prozess | Schätztheorie | Markov switching | GARCH | long memory |
Series: | CESifo Working Paper ; 2225 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 559088930 [GVK] hdl:10419/26270 [Handle] |
Classification: | C13 - Estimation ; C22 - Time-Series Models |
Source: |
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