Estimating and forecasting GARCH models in the presence of structural breaks and regime switches

Frontiers of Economics and Globalization

Volumn 3, Issue , 2008, Pages 303-327

  Hillebrand, Eric ^a   Medeiros, Marcelo C ^b  

^a LOUISIANA STATE UNIVERSITY   (United States)

^b PONTIFICAL CATHOLIC UNIVERSITY OF RIO DE JANEIRO   (Brazil)

Author keywords

Asymmetry; Change point detection; Finance; Forecasting; GARCH models; Multiple regimes; Structural breaks; Volatility

Indexed keywords

EID: 84896513795     PISSN: 15748715     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S1574-8715(07)00208-4     Document Type: Review

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