Discussions on the Zero-drift GARCH model : evidence from an Markov regime-switching extension
Lingbing Feng, Tong Fu, Yanlin Shi, Zili Wang
| Year of publication: |
2021
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|---|---|
| Authors: | Feng, Lingbing ; Fu, Tong ; Shi, Yanlin ; Wang, Zili |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 40.2021, p. 1-8
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| Subject: | Heteroskedasticity | Regime switching | Volatility modelling | Zero-drift GARCH | Schätzung | Estimation | ARCH-Modell | ARCH model | Volatilität | Volatility | Markov-Kette | Markov chain | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2020.101713 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012819431