Viterbi-based estimation for Markov switching GARCH model
Robert J. Elliott, John W. Lau, Hong Miao & Tak Kuen Siu
| Year of publication: |
2012
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|---|---|
| Authors: | Elliott, Robert J. ; Lau, John W. ; Miao, Hong ; Siu, Tak Kuen |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 19.2012, 3/4, p. 219-231
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| Subject: | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | 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/10009710984