INTEGRATED MARKOV-SWITCHING GARCH PROCESS

DOI10.1017/S0266466608090506zbMath1286.62076MaRDI QIDQ5411517

Ji-Chun Liu

Publication date: 23 April 2014

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cites Work

• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• Subadditive ergodic theory
• Autoregressive conditional heteroskedasticity and changes in regime
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Limit theorems for products of positive random matrices
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Non-negative matrices and Markov chains.
• The \(L^2\)-structures of standard and switching-regime GARCH models
• Conditional Heteroskedasticity Driven by Hidden Markov Chains
• Convergence in distribution of products of random matrices
• Modelling the persistence of conditional variances
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

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