Markov switching component GARCH model: Stability and forecasting (Q2816418): Difference between revisions

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+W2962687598
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+.5525
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+ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES
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+Hidden Markov Mixture Autoregressive Models: Stability and Moments
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+Theory and inference for a Markov switching GARCH model
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+Generalized autoregressive conditional heteroscedasticity
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+Calculating posterior distributions and modal estimates in Markov mixture models
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+Modeling volatility persistence of speculative returns: a new approach
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Q2744679
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+Autoregressive conditional heteroskedasticity and changes in regime
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+Bayesian analysis of switching ARCH models
@@ Property / cites work: Bayesian analysis of switching ARCH models / rank @@
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+Q3222981
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+MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
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