Department of Economics and Business Economics

Forecasting Risk with Markov-Switching GARCH Models: A large-scale performance study

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Documents

DOI

  • David Ardia, Swaziland
  • Keven Bluteau, Swaziland
  • Kris Boudt, Vrije Universiteit Brussel, Belgium and VU University Amsterdam, Netherlands
  • Leopoldo Catania
Original languageEnglish
JournalInternational Journal of Forecasting
Volume34
Issue4
Pages (from-to)733-747
ISSN0169-2070
DOIs
Publication statusPublished - 2018

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