Markov switching in garch processes and mean-reverting stock-market volatility

Journal of Business and Economic Statistics

Volumn 15, Issue 1, 1997, Pages 26-34

  Dueker, Michael J ^a  

^a FEDERAL RESERVE BANK OF ST LOUIS   (United States)

Author keywords

Asset price volatility; Conditional heteroscedasticity; Kurtosis

Indexed keywords

EID: 0031542612     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1997.10524683     Document Type: Article

References (13)

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