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. Issues of parametrization and estimation are discussed. Conditions for covariance stationarity and the existence of the …
Persistent link: https://www.econbiz.de/10010298390
We develop a multivariate generalization of the Markov-switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth-moment structure. An application to international stock markets illustrates the relevance of accounting for volatility regimes from both a...
Persistent link: https://www.econbiz.de/10010298391