← Back to work
Works cited by this work
23 works
Work: Stochastic Volatility Models with Endogenous Breaks in Volatility Forecasting
Persistence in Variance, Structural Change, and the GARCH Model
Christopher G. Lamoureux, William D. Lastrapes
Article19903 citationsABISelection of estimation window in the presence of breaks
M. Hashem Pesaran, Allan Timmermann
Article20062 citationsABIMultivariate Stochastic Variance Models
Andrew Harvey, Esther Ruiz, Neil Shephard
Article19942 citationsABIForecasting risk with Markov-switching GARCH models:A large-scale performance study
David Ardia, Keven Bluteau, Kris Boudt +1
Article20182 citationsABI