EnglishThis paper is devoted to show duality in the estimation of Markov Switching (MS) GARCH processes. It is well-known that MS GARCH models suffer of path dependence which makes the estimation step unfeasible with usual Maximum Likelihood procedure. However, by rewriting the model in a suitable state space representation, we are able to give a unique framework to reconcile the estimation obtained by filtering procedure with that coming from some auxiliary models proposed in the literature. Estimation on short-term interest rates shows the feasibility of the proposed approach.
Markov Switching GARCH Models: Filtering, Approximations and Duality / Billio, Monica; Cavicchioli, Maddalena. - (2017), pp. 59-72.
| Data di pubblicazione: | 2017 |
| Titolo: | Markov Switching GARCH Models: Filtering, Approximations and Duality |
| Autore/i: | Billio, Monica; Cavicchioli, Maddalena |
| Autore/i UNIMORE: | |
| Digital Object Identifier (DOI): | http://dx.doi.org/10.1007/978-3-319-50234-2_5 |
| Titolo del libro: | Mathematical and Statistical Methods for Actuarial Sciences and Finance |
| A cura di: | Corazza, M., Legros, F., Perna, C., Sibillo, M. |
| ISBN: | 978-3-319-50234-2 |
| Editore: | Springer |
| Nazione editore: | SVIZZERA |
| Citazione: | Markov Switching GARCH Models: Filtering, Approximations and Duality / Billio, Monica; Cavicchioli, Maddalena. - (2017), pp. 59-72. |
| Tipologia | Capitolo/Saggio |
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