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Long Memory with Markov-Switching GARCH
Kraemer, Walter - CESifo - 2008
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives … empirical observation that estimated GARCH-parameters often sum to almost one. …
Persistent link: https://www.econbiz.de/10005406028
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008570643
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008584711