A dynamic Markov regime-switching GARCH model and its cumulative impulse response function (Q1642424): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.spl.2018.02.059
+Normal rank
@@ Property / OpenAlex ID @@
+W2795602746
@@ Property / OpenAlex ID: W2795602746 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Theory and inference for a Markov switching GARCH model
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+The impulse response function of the long memory GARCH process
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Analysis of time series subject to changes in regime
+Normal rank
@@ Property / cites work @@
+Autoregressive conditional heteroskedasticity and changes in regime
+Normal rank
@@ Property / cites work @@
+Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
+Normal rank
@@ Property / cites work @@
+Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
+Normal rank
@@ Property / cites work @@
+Forecasting Stock Market Volatility with Regime-Switching GARCH Models
+Normal rank
@@ Property / cites work @@
+Persistent-threshold-GARCH processes: model and application
+Normal rank