Long memory with Markov-switching GARCH
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Cites work
- Autoregressive conditional heteroskedasticity and changes in regime
- Conditional heteroskedasticity driven by hidden Markov chains
- Estimation of GARCH models from the autocorrelations of the squares of a process
- Long memory and regime switching
- Neglecting parameter changes in GARCH models
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
- The \(L^2\)-structures of standard and switching-regime GARCH models
Cited in
(10)- Covariance stationary GARCH-family models with long memory property
- Identification of long memory in GARCH models
- The impulse response function of the long memory GARCH process
- Long memory and regime switching in the stochastic volatility modelling
- Periodic Long-Memory GARCH Models
- On the origin of high persistence in GARCH-models
- Markov switch smooth transition HYGARCH model: stability and estimation
- Asymmetric long memory GARCH in exchange return.
- The functional central limit theorem for Markov-switching GARCH model
- Can Markov switching model generate long memory?
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