INTEGRATED MARKOV-SWITCHING GARCH PROCESS (Q5411517): Difference between revisions

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+Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
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+Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
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+Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
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+Autoregressive conditional heteroskedasticity and changes in regime
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+Subadditive ergodic theory
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+The \(L^2\)-structures of standard and switching-regime GARCH models
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+Convergence in distribution of products of random matrices
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+Conditional Heteroskedasticity Driven by Hidden Markov Chains
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+Limit theorems for products of positive random matrices
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+Modelling the persistence of conditional variances
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+Strict stationarity of generalized autoregressive processes
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+Stationarity of GARCH processes and of some nonnegative time series
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+Non-negative matrices and Markov chains.
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