Improving GARCH volatility forecasts with regime-switching GARCH

F.J.G.M. Klaassen

Research output: Contribution to journalArticleScientificpeer-review

Original languageEnglish
Pages (from-to)363-394
Number of pages31
JournalEmpirical Economics: A quarterly journal of the Institute for Advanced Studies
Volume27
Issue number2
Publication statusPublished - 2002

Cite this

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title = "Improving GARCH volatility forecasts with regime-switching GARCH",
author = "F.J.G.M. Klaassen",
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journal = "Empirical Economics: A quarterly journal of the Institute for Advanced Studies",
issn = "1435-8921",
publisher = "PHYSICA-VERLAG GMBH & CO",
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Improving GARCH volatility forecasts with regime-switching GARCH. / Klaassen, F.J.G.M.

In: Empirical Economics: A quarterly journal of the Institute for Advanced Studies, Vol. 27, No. 2, 2002, p. 363-394.

Research output: Contribution to journalArticleScientificpeer-review

TY - JOUR

T1 - Improving GARCH volatility forecasts with regime-switching GARCH

AU - Klaassen, F.J.G.M.

N1 - DP 9852 Pagination: 31

PY - 2002

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VL - 27

SP - 363

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JO - Empirical Economics: A quarterly journal of the Institute for Advanced Studies

JF - Empirical Economics: A quarterly journal of the Institute for Advanced Studies

SN - 1435-8921

IS - 2

ER -