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Keywords: Markov switching model
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Journal Articles
International Journal of Emerging Markets (2023) 18 (11): 5068–5086.
Published: 14 February 2022
... of transitory and permanent volatilities via optimal component generalized autoregressive heteroscedasticity (CGARCH) model, while these volatilities are subsequently embedded in Markov switching model. Findings This study’s results indicate that bidirectional volatility transmission exists between...
