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~isPartOf:"CFS Working Paper"
~source:"econstor"
~subject:"Markov switching"
~subject:"Volatilität"
~subject:"Zeitreihenanalyse"
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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus
;
Mittnik, Stefan
-
2008
We develop a multivariate generalization of the
Markov
-switching GARCH model introduced by Haas, Mittnik, and Paolella …
Persistent link: https://www.econbiz.de/10010298391
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