Infinite-State Markov-Switching for Dynamic Volatility

Arnaud Dufays ()
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Arnaud Dufays: ULaval - Université Laval [Québec]

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Date: 2016-03-13
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Published in Journal of Financial Econometrics, 2016, 14 (2), pp.418-460. ⟨10.1093/jjfinec/nbv017⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05783291

DOI: 10.1093/jjfinec/nbv017

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