MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
| Year of publication: |
2009
|
|---|---|
| Authors: | Medeiros, Marcelo C. ; Veiga, Alvaro |
| Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 9016612. - Vol. 25.2009, 1, p. 117-161
|