MCMC-based estimation of Markov Switching ARMA–GARCH models

By Jan S. Henneke, Svetlozar T. Rachev, Frank J Fabozzi 3, Metodi Nikolov. 2011

82 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/1d3f9770dca0e183162f7d91f58e64168f4aebf4