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A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
Reher, Gerrit, Wilfling, BerndLanguage:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2015.1015599
Date:
March, 2015
File:
PDF, 697 KB
english, 2015