MCMC-based estimation of Markov Switching ARMA-GARCH models
| Year of publication: |
2011
|
|---|---|
| Authors: | Henneke, Jan ; Rachev, Svetlozar ; Fabozzi, Frank ; Nikolov, Metodi |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 2801760. - Vol. 43.2011, 3, p. 259-272
|