Long memory with Markov-switching GARCH
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Publication:1934779
DOI10.1016/j.econlet.2007.09.027zbMath1255.91358MaRDI QIDQ1934779
Publication date: 29 January 2013
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2003/23070
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B84: Economic time series analysis
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Cites Work
- Neglecting parameter changes in GARCH models
- Autoregressive conditional heteroskedasticity and changes in regime
- Structural change and estimated persistence in the \(GARCH(1,1)\)-model
- The \(L^2\)-structures of standard and switching-regime GARCH models
- 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