Score-driven Markov-switching EGARCH models: an application to systematic risk analysis
Blazsek, Szabolcs, Ho, Han-Chiang, Liu, Su-PingLanguage:
english
Journal:
Applied Economics
DOI:
10.1080/00036846.2018.1488073
Date:
August, 2018
File:
PDF, 2.01 MB
english, 2018