Improving GARCH volatility forecasts with regime-switching GARCH

Overview of attention for article published in Empirical Economics, March 2002

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Summary Policy documents Wikipedia Dimensions citations

So far, Altmetric has seen 2 policy documents that reference this research output.

Long Memory with Markov-Switching GARCH

Cited by CESIfo on 13 Feb 2008

CESifo is a global, independent research network with members from across the world. Members are prominent economists with a broad spectrum of specialisms, each of whom brings years of experience and a high level of expertise to our research areas.

Regime-Switching and the Estimation of Multifractal Processes

Cited by National Bureau of Economic Research on 01 Jul 2003

The National Bureau of Economic Research (NBER) is a private, non-profit, non-partisan organisation dedicated to conducting economic research and to disseminating research findings among academics, public policy makers, and business professionals.