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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Journal of econometrics 178 (2014) 1, pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
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Relevant parameter changes in structural break models
Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Journal of econometrics 217 (2020) 1, pp. 46-78
Persistent link: https://www.econbiz.de/10012482738