Estimating MS-BLGARCH Models Using Recursive Method
In this paper a new class of models is proposed for modeling nonlinear and stationary time series. This new class of models is referred to as the Markov-switching bilinear GARCH (MS-BLGARCH) models. In these models, the parameters are allowed to depend on an unobservable time-homogeneous and station...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Mathyze Publishers
2023-03-01
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| Series: | Pan-American Journal of Mathematics |
| Online Access: | https://mathyze.com/index.php/pajm/article/view/99 |
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