Integrated Markov-switching GARCH process

DOI10.1017/S0266466608090506MaRDI QIDQ5411517zbMATH OpenFDO

Authors Ji-Chun Liu

Publication date 23 April 2014

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466608090506

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)

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• Theory and inference for a Markov switching GARCH model

Cites work

• Autoregressive conditional heteroskedasticity and changes in regime
• Conditional heteroskedasticity driven by hidden Markov chains
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Convergence in distribution of products of random matrices
• 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.
• Modelling the persistence of conditional variances
• Non-negative matrices and Markov chains.
• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• Subadditive ergodic theory
• The \(L^2\)-structures of standard and switching-regime GARCH models

Cited in

(8)

• The functional central limit theorem for Markov-switching GARCH model
• On the stationarity of Markov-switching GARCH processes
• Skew-Normal Mixture and Markov-Switching GARCH Processes
• Long memory with Markov-switching GARCH
• A family of Markov-switching GARCH processes
• Markov-Switching GARCH Modelling of Value-at-Risk
• Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
• The \(L^2\)-structures of standard and switching-regime GARCH models

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