Markov switching beta-skewed-t EGARCH
© Springer Nature Switzerland AG 2019. This study extends the work of Harvey and Sucarrat [15] and present Markov regime-switching (MS) Beta-skewed-t-EGARCH (exponential generalized autoregressive conditional heteroscedasticity) model to predict the volatility. To examine the performance of our mode...
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| Main Authors: | , , |
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| 格式: | Book Series |
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2019
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| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85064196834&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65542 |
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| 機構: | Chiang Mai University |