Bauwens, Luc (contributor); Preminger, Arie (contributor); … - 2006
-5.
Cai, J. (1994): “Markov Model of Unconditional Variance in ARCH,” Journal of Business
and Economics Statistics, 12, 309 …–56.
Dueker, M. (1997): “Markov Switching in GARCH Processes in Mean Reverting Stock
Market Volatility,” Journal of Business and …): “Heteroskedasticity in Stock Return Data:
Volume versus GARCH Effects,” Journal of Finance, 45, 221–229.
Lanne, M., and P. Saikkonen (2003 …