A discussion on the innovation distribution of the Markov regime-switching GARCH model
Year of publication: |
February 2016
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Authors: | Shi, Yanlin ; Feng, Lingbing |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 53.2016, p. 278-288
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Subject: | GARCH model | Regime-switching | Fat-tailed distribution | Tempered stable distribution | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Markov-Kette | Markov chain |
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