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Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations

Ardia, David

Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations 2009 - 2009 - 105-126 V. 12 Issue. 1

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Asymmetry;Bayesian;GARCH;Markov switching;SMI;Threshold;

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