مرکز منطقه ای اطلاع رساني علوم و فناوري - Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference

Title of article :

Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference

Author/Authors :

Christian Francq، نويسنده , , Jean-Michel Zako?¨an، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2008

Pages :

From page :

3027

To page :

3046

Keywords :

Markov-switching models , HMM , ARMA representation , GARCH , GMM procedure

Journal title :

Computational Statistics and Data Analysis

Serial Year :

2008

Journal title :

Computational Statistics and Data Analysis

Record number :

308407

Link To Document :