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Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach

Crossref DOI link: https://doi.org/10.1007/s00180-015-0624-4

Published Online: 2015-09-28

Published Print: 2016-03

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Chen, Cathy W. S.

Lee, Sangyeol

Chen, Shu-Yu
Funding

Funding for this research was provided by:

Ministry of Science and Technology (MOST 103-2118-M-035-002-MY2)

Ministry of Science and Technology (NSC 101-2118-M-035-006-MY2)

National Research Foundation of Korea (MEST No.2012R1A2A2A01046092)
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