Theory and inference for a Markov switching GARCH model (Q3004023): Difference between revisions

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+ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES
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+Regime switching in foreign exchange rates: Evidence from currency option prices
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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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+Long memory and regime switching
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+Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
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+Conditional Heteroskedasticity Driven by Hidden Markov Chains
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+COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES  OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING  COEFFICIENTS”
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+The \(L^2\)-structures of standard and switching-regime GARCH models
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+Sampling-Based Approaches to Calculating Marginal Densities
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+Autoregressive conditional heteroskedasticity and changes in regime
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+Normalization in Econometrics
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+Real time detection of structural breaks in GARCH models
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+Forecasting Stock Market Volatility with Regime-Switching GARCH Models
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+NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON-LINEAR AUTOREGRESSION
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+Q4828566
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+Computing the Distributions of Economic Models via Simulation
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+The Calculation of Posterior Distributions by Data Augmentation
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+SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH  MARKOV-SWITCHING COEFFICIENTS
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+On square-integrability of an AR process with Markov switching
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+A nonlinear autoregressive conditional duration model with applications to financial transaction data
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+https://doi.org/10.1111/j.1368-423x.2009.00307.x
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+W3204741519
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