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Markov–Switching GARCH Models in R: The MSGARCH Package
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Leopoldo Catania
Markov–Switching GARCH Models in R: The MSGARCH Package
Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Links
- http://ssrn.com/abstract=2845809
Submitted manuscript
DOI
- https://doi.org/10.18637/jss.v091.i04
Final published version
- David Ardia, HEC Montreal, Canada
- Keven Bluteau, University of Neuchatel, Vrije Universiteit Brussel ,
- Kris Boudt, Ghent University, Vrije Universiteit Brussel, Vrije Universiteit Amsterdam, Netherlands
- Leopoldo Catania
- Denis-Alexandre Trottier, Universite Laval, Canada
| Original language | English |
|---|---|
| Journal | Journal of Statistical Software |
| Volume | 91 |
| Issue | 4 |
| Number of pages | 38 |
| ISSN | 1548-7660 |
| DOIs | |
| Publication status | Published - 2019 |
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ID: 127488207