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A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of empirical finance 29 (2014), pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
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Multivariate models with long memory dependence in conditional correlation and volatility
Dark, Jonathan - In: Journal of empirical finance 48 (2018), pp. 162-180
Persistent link: https://www.econbiz.de/10012109291
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An adaptive long memory conditional correlation model
Dark, Jonathan - In: Journal of empirical finance 75 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014491877