Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Maddalena Cavicchioli
| Year of publication: |
2022
|
|---|---|
| Authors: | Cavicchioli, Maddalena |
| Subject: | GARCH | Markov switching | Geometric ergodicity | Higher order moments | Kurtosis measures | Stationarity | Testing for normality | Volatility indices | ARCH-Modell | ARCH model | Volatilität | Volatility | Markov-Kette | Markov chain | Konjunktur | Business cycle | Theorie | Theory | Schätzung | Estimation | Messung | Measurement | Zeitreihenanalyse | Time series analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2021.1974459 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013540511