• Viterbi-based estimation for markov switching GARCH model 

        Author(s):Elliott, Robert J.; Lau, John W.; Miao, Hong; Kuen Siu, Tak
        Date Issued:2011-08-22
        Format:born digital; articles
        We outline a two-stage estimation method for a Markov-switching Generalized Autoregressive Conditional Heteroscedastic (GARCH) model modulated by a hidden Markov chain. The first stage involves the estimation of a hidden ...