A nesting framework for Markov-switching GARCH modelling with an application to the German stock market (Q5001140): Difference between revisions

Latest revision as of 05:18, 26 July 2024

scientific article; zbMATH DE number 7372408

Language	Label	Description	Also known as
English	A nesting framework for Markov-switching GARCH modelling with an application to the German stock market	scientific article; zbMATH DE number 7372408

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instance of

scholarly article

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title

A nesting framework for Markov-switching GARCH modelling with an application to the German stock market (English)

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16 July 2021

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zbMATH Keywords

Markov-switching models

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GARCH models

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dynamics of stock-index returns

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volatility forecasting

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describes a project that uses

NMOF

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/14697688.2015.1015599

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cites work

ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES

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Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-<i>t</i> innovations

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Maximum likelihood estimation of the Markov-switching GARCH model

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Marginal likelihood for Markov-switching and change-point GARCH models

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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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Q5538617

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Q4230831

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Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference

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Heuristic optimisation in financial modelling

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Skew-Normal Mixture and Markov-Switching GARCH Processes

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Q4840212

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Autoregressive conditional heteroskedasticity and changes in regime

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A Class of Nonlinear Arch Models

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Forecasting Stock Market Volatility with Regime-Switching GARCH Models

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

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Remarks on a Multivariate Transformation

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Threshold heteroskedastic models

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Identifiers

zbMATH Open document ID

1468.91153

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DOI

10.1080/14697688.2015.1015599

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5001140

@@ Property / cites work @@
+ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES
+Normal rank
@@ Property / cites work @@
+Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-<i>t</i> innovations
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of the Markov-switching GARCH model
+Normal rank
@@ Property / cites work @@
+Marginal likelihood for Markov-switching and change-point GARCH models
+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 @@
+Q5538617
@@ Property / cites work: Q5538617 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4230831
@@ Property / cites work: Q4230831 / rank @@
+Normal rank
@@ Property / cites work @@
+Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
+Normal rank
@@ Property / cites work @@
+Heuristic optimisation in financial modelling
@@ Property / cites work: Heuristic optimisation in financial modelling / rank @@
+Normal rank
@@ Property / cites work @@
+Skew-Normal Mixture and Markov-Switching GARCH Processes
+Normal rank
@@ Property / cites work @@
+Q4840212
@@ Property / cites work: Q4840212 / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive conditional heteroskedasticity and changes in regime
+Normal rank
@@ Property / cites work @@
+A Class of Nonlinear Arch Models
@@ Property / cites work: A Class of Nonlinear Arch Models / rank @@
+Normal rank
@@ Property / cites work @@
+Forecasting Stock Market Volatility with Regime-Switching GARCH Models
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
+Normal rank
@@ Property / cites work @@
+Remarks on a Multivariate Transformation
@@ Property / cites work: Remarks on a Multivariate Transformation / rank @@
+Normal rank
@@ Property / cites work @@
+Threshold heteroskedastic models
@@ Property / cites work: Threshold heteroskedastic models / rank @@
+Normal rank