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Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
16 references·0 citing·35 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
  • 1996Modeling volatility persistence of speculative returns: A new approach818 cited
  • 2004A New Approach to Markov-Switching GARCH Models599 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • 2007Estimating Macroeconomic Models: A Likelihood Approach513 cited
  • 1986Modeling The persistence Of Conditional Variances: A Comment437 cited
  • 1998Smooth-Transition GARCH Models236 cited
  • 2009Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach214 cited
  • 2009Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices193 cited
  • 2006The Spline-Garch Model for Low Frequency Volatility and its Global Macroeconomic Causes193 cited

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  • 2010Theory and inference for a Markov switching GARCH model188 cited
  • 1994Forecasting Volatility and Option Prices of the S&P 500 Index153 cited
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