Improving GARCH volatility forecasts with regime-switching GARCH
Klaassen,F.J.G.M.
Klaassen,F.J.G.M.
Abstract
Description
DP 9852 Pagination: 31
Date
2002
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Volume Title
Publisher
Research Projects
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Citation
Klaassen, F J G M 2002, 'Improving GARCH volatility forecasts with regime-switching GARCH', Empirical Economics, vol. 27, no. 2, pp. 363-394.
License
info:eu-repo/semantics/restrictedAccess