Billio, Monica; Cavicchioli, Maddalena - Dipartimento di Economia, Università Ca' Foscari Venezia - 2013
This paper is devoted to show duality in the estimation of Markov Switching (MS) processes for volatility. It is well-known that MS-GARCH models suffer of path dependence which makes the estimation step unfeasible with usual Maximum Likelihood procedure. However, by rewriting the MS-GARCH model...