Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Szabolcs Blazsek and Michel Ferreira Cardia Haddad
| Year of publication: |
2023
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| Authors: | Blazsek, Szabolcs ; Haddad, Michel Ferreira Cardia |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 4, p. 589-634
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| Subject: | dynamic conditional score | exponential generalized autoregressive conditional heteroskedasticity (EGARCH) | generalized autoregressive score | Markov regime-switching | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2021-0101 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014372917