Long memory with Markov-Switching GARCH
Year of publication: |
2006
|
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Authors: | Krämer, Walter |
Publisher: |
Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |
Subject: | Markov switching | GARCH | long memory |
Series: | Technical Report ; 2006,35 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 519727495 [GVK] hdl:10419/22679 [Handle] RePEc:zbw:sfb475:200635 [RePEc] |
Classification: | C22 - Time-Series Models ; C13 - Estimation |
Source: |
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Long memory with Markov-Switching GARCH
Krämer, Walter, (2008)
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Long memory with Markov-Switching GARCH
Krämer, Walter, (2006)
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