MCMC-based estimation of Markov Switching ARMA-GARCH models
Jan S. Henneke, Svetlozar T. Rachev, Frank J. Fabozzi and Metodi Nikolov
| Year of publication: |
2011
|
|---|---|
| Authors: | Henneke, Jan S. ; Račev, Svetlozar T. ; Fabozzi, Frank J. ; Nikolov, Metodi |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 43.2011, 1/3, p. 259-271
|
| Subject: | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009011159