## Abstract The authors develop a Markov regimeβswitching timeβvarying correlation generalized autoregressive conditional heteroscedasticity (RSβTVC GARCH) model for estimating optimal hedge ratios. The RSβTVC nests within it both the timeβvarying correlation GARCH (TVC) and the constant correlatio
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Optimal timing of regime switching in optimal growth models: A Sobolev space approach
β Scribed by Erol Dogan; Cuong Le Van; Cagri Saglam
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 272 KB
- Volume
- 61
- Category
- Article
- ISSN
- 0165-4896
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