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

Author(s)
Boudt, Kris
Catania, Leopoldo
Date issued
2018
In
International Journal of Forecasting
Vol
4
No
34
From page
733
To page
747
Reviewed by peer
1
Project(s)
Publication type
journal article
Identifiers
https://libra.unine.ch/handle/20.500.14713/63572
DOI
10.1016/j.ijforecast.2018.05.004
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