A dynamic Markov regime-switching GARCH model and its cumulative impulse response function
From MaRDI portal
Publication:1642424
DOI10.1016/J.SPL.2018.02.059zbMath1463.62266OpenAlexW2795602746WikidataQ130036888 ScholiaQ130036888MaRDI QIDQ1642424
Publication date: 20 June 2018
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2018.02.059
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes: hypothesis testing (62M02)
Related Items (1)
Cites Work
- Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
- Analysis of time series subject to changes in regime
- Persistent-threshold-GARCH processes: model and application
- Explosive volatilities for threshold-GARCH processes generated by asymmetric innovations
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Autoregressive conditional heteroskedasticity and changes in regime
- Generalized autoregressive conditional heteroscedasticity
- The impulse response function of the long memory GARCH process
- Theory and inference for a Markov switching GARCH model
- Forecasting Stock Market Volatility with Regime-Switching GARCH Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
This page was built for publication: A dynamic Markov regime-switching GARCH model and its cumulative impulse response function
