Improving GARCH Volatility Forecasts with Regime-Switching GARCH

Open Access
Authors
Publication date 2002
Host editors
  • J.D. Hamilton
  • B. Raj
Book title Advances in Markov-Switching Models
Pages (from-to) 223-254
Publisher Heidelberg: Springer-Verlag
Organisations
  • Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
Document type Chapter
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