Improving GARCH volatility forecasts with regime-switching GARCH

F.J.G.M. Klaassen

Research output: Contribution to journal › Article › Scientific › peer-review

Cite this

@article{5cbba6084f524249a7a0f1f8fb474655,

title = "Improving GARCH volatility forecasts with regime-switching GARCH",

author = "F.J.G.M. Klaassen",

note = "DP 9852 Pagination: 31",

year = "2002",

language = "English",

volume = "27",

pages = "363--394",

journal = "Empirical Economics",

issn = "1435-8921",

publisher = "PHYSICA-VERLAG GMBH & CO",

number = "2",

}