COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”

DOI10.1017/S0266466602183125zbMath1109.62336OpenAlexW2123111653MaRDI QIDQ4807312

Jean-Michel Zakoian, Christian Francq

Publication date: 18 May 2003

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466602183125

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Skewness and kurtosis of multivariate Markov-switching processes ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS ⋮ Theory and inference for a Markov switching GARCH model

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