Markov–Switching GARCH Models in R: The MSGARCH Package

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  • 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, Laval University, Quebec, Canada
Original languageEnglish
JournalJournal of Statistical Software
Volume91
Issue4
Number of pages38
ISSN1548-7660
DOIs
Publication statusPublished - 2019

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