A Bayesian method of change-point estimation with recurrent...

A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models

Bauwens, Luc, De Backer, Bruno, Dufays, Arnaud
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Volume:
29
Language:
english
Journal:
Journal of Empirical Finance
DOI:
10.1016/j.jempfin.2014.06.008
Date:
December, 2014
File:
PDF, 545 KB
english, 2014
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