Marginal likelihood for Markov-switching and change-point GARCH models

Luc Bauwens, Arnaud Dufays () and Jeroen V.K. Rombouts
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Arnaud Dufays: CORE | LIDAM - Center for Operations Research and Econometrics [UCLouvain] - UCLouvain - Université Catholique de Louvain = Catholic University of Louvain

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Date: 2014-01
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Published in Journal of Econometrics, 2014, 178, pp.508-522. ⟨10.1016/j.jeconom.2013.08.017⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05783268

DOI: 10.1016/j.jeconom.2013.08.017

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