To cite 'MSGARCH' in publications use:

David Ardia, Keven Bluteau, Kris Boudt, Leopoldo Catania, Alexios Ghalanos, Brian Peterson, Denis-Alexandre Trottier (2018). Markov-Switching GARCH Models in R: The MSGARCH Package. Version 2.3.

Ardia, David and Bluteau, Keven and Boudt, Kris and Catania, Leopoldo and Trottier, Denis-Alexandre (2017). Markov-Switching GARCH Models in R: The MSGARCH Package. URL https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2845809/

Corresponding BibTeX entries:

  @Manual{,
    title = {{M}arkov-{S}witching {GARCH} Models in {R}: The {MSGARCH}
      Package},
    author = {David Ardia and Keven Bluteau and Kris Boudt and Leopoldo
      Catania and Alexios Ghalanos and Brian Peterson and
      Denis-Alexandre Trottier},
    url = {https://CRAN.R-project.org/package=MSGARCH},
    year = {2018},
    vers = {Version 2.3},
  }
  @Misc{,
    author = {David Ardia and Keven Bluteau and Kris Boudt and Leopoldo
      Catania and Denis-Alexandre Trottier},
    title = {Markov-Switching {GARCH} Models in {R}: {T}he {MSGARCH}
      Package},
    year = {2017},
    note = {URL
      https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2845809},
  }