Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic
Year of publication: |
2022
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Authors: | Cavicchioli, Maddalena |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 4, p. 1772-1783
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Subject: | GARCH | Markov switching | Geometric ergodicity | Higher order moments | Kurtosis measures | Stationarity | Testing for normality | Volatility indices | Theorie | Theory | Volatilität | Volatility | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Konjunktur | Business cycle |
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