Double Markov Switching GARCH Models
碩士 === 逢甲大學 === 統計與精算所 === 94 === In this paper we consider a double Markov switching GARCH model with fat-tailed error distribution for analyzing asymmetric effects on mean and volatility in financial markets. The characteristic of our model is that a regime variable from one state to another is an...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37885659092168474199 |