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Forecasting risk with Markov-switching GARCH models: A large-scale performance study

David Ardia, Keven Bluteau, Kris Boudt & Leopoldo Catania

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Citation Ardia, D., Bluteau, K., Boudt, K., & Catania, L. (2018). Forecasting risk with Markov-switching GARCH models: A large-scale performance study. International Journal of Forecasting, 34(4), 733-747.
   
Type Journal article (English)
Date of appearance 2018
Journal International Journal of Forecasting
Volume 34
Issue 4
Pages 733-747
URL https://doi.org/10.1016/j.ijforecast.2018.05.004
Related project Bayesian estimation of regime-switching GARCH models