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A simulation study on the Markov regime-switching zero-drift GARCH model.

Yanlin Shi
Published in: Ann. Oper. Res. (2023)
Keyphrases
  • simulation study
  • garch model
  • stock market
  • markov chain
  • monte carlo
  • multivariate time series
  • sar images
  • chinese stock market
  • conditional independence
  • heavy tailed
  • image sequences
  • long term
  • state space