Score-driven multi-regime Markov-switching EGARCH : empirical evidence using the Meixner distribution
Year of publication: |
2023
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Authors: | Blazsek, Szabolcs ; Haddad, Michel Ferreira Cardia |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 27.2023, 4, p. 589-634
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Subject: | dynamic conditional score | exponential generalized autoregressive conditional heteroskedasticity (EGARCH) | generalized autoregressive score | Markov regime-switching | ARCH-Modell | ARCH model | Schätzung | Estimation | Markov-Kette | Markov chain | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
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