Pages that link to "Item:Q2567232"

The following pages link to The \(L^2\)-structures of standard and switching-regime GARCH models (Q2567232):

Displaying 31 items.

• Structure of a double autoregressive process driven by a hidden Markov chain (Q449432) (← links)
• The autocorrelation structure of the Markov-switching asymmetric power GARCH process (Q945788) (← links)
• Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference (Q1023632) (← links)
• Maximum likelihood estimation of the Markov-switching GARCH model (Q1623509) (← links)
• On mixture autoregressive conditional heteroskedasticity (Q1643793) (← links)
• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure (Q1703024) (← links)
• Long memory with Markov-switching GARCH (Q1934779) (← links)
• QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes (Q2063074) (← links)
• Statistical inference for mixture GARCH models with financial application (Q2135925) (← links)
• Research on the value at risk of basis for stock index futures hedging in China based on two-state Markov process and semiparametric RS-GARCH model (Q2296591) (← links)
• The functional central limit theorem for the multivariate MS-ARMA-GARCH model (Q2345241) (← links)
• Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models (Q2348337) (← links)
• A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns (Q2691761) (← links)
• On the Markov-switching bilinear processes: stationarity, higher-order moments and <i>β</i>-mixing (Q2804016) (← links)
• Statistical Analysis Of Mixture Vector Autoregressive Models (Q2835319) (← links)
• ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES (Q2886955) (← links)
• Minimum distance estimation of Markov-switching bilinear processes (Q2953974) (← links)
• Theory and inference for a Markov switching GARCH model (Q3004023) (← links)
• Structure and estimation of a class of nonstationary yet nonexplosive GARCH models (Q3103190) (← links)
• Probabilistic properties of a Markov-switching periodic GARCH process (Q3297110) (← links)
• Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models (Q3505317) (← links)
• Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models (Q3590747) (← links)
• Testing for two states in a hidden Markov model (Q3626374) (← links)
• Markov Switching GARCH Models: Filtering, Approximations and Duality (Q4609750) (← links)
• Markov-switching <i><i>BILINEAR</i> − <i>GARCH</i></i> models: Structure and estimation (Q4638707) (← links)
• Asymptotic inference for periodic ARCH processes (Q4923222) (← links)
• Third and fourth moments of vector autoregressions with regime switching (Q4975126) (← links)
• Spectral representation and autocovariance structure of Markov switching DSGE models (Q5077377) (← links)
• Stationarity and ergodicity of Markov switching positive conditional mean models (Q5095291) (← links)
• A Family of Markov‐Switching Garch Processes (Q5397964) (← links)
• INTEGRATED MARKOV-SWITCHING GARCH PROCESS (Q5411517) (← links)