On the stationarity of Markov-switching GARCH processes
Year of publication: |
2007
|
---|---|
Authors: | Abramson, Ari ; Cohen, Israel |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 23.2007, 3, p. 485-500
|
Subject: | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Theorie | Theory |
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