To cite MSGARCH in publications use:
Ardia D, Bluteau K, Boudt K, Catania L, Trottier D (2019). “Markov-Switching GARCH Models in R: The MSGARCH Package.” Journal of Statistical Software, 91(4), 1–38. doi:10.18637/jss.v091.i04.
Corresponding BibTeX entry:
@Article{, title = {{M}arkov-Switching {GARCH} Models in {R}: The {MSGARCH} Package}, author = {David Ardia and Keven Bluteau and Kris Boudt and Leopoldo Catania and Denis-Alexandre Trottier}, journal = {Journal of Statistical Software}, year = {2019}, volume = {91}, number = {4}, pages = {1--38}, doi = {10.18637/jss.v091.i04}, }