Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models

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Cites work

scientific article; zbMATH DE number 4107971 (Why is no real title available?)
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A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Asymptotic properties for the first-order bilinear time series model
Consistency of maximum likelihood estimators for the regime-switching GARCH model
Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime
J. of time series anal.
Maximum-likelihood estimation for hidden Markov models
On White Noises Driven by Hidden Markov Chains
On an independent and identically distributed mixture bilinear time-series model
On stability of nonlinear AR processes with Markov switching
On stationarity and ergodicity of the bilinear model with applications to GARCH models
On the Markov-switching bilinear processes: stationarity, higher-order moments and \(\beta\)-mixing
On the first-order bilinear time series model
On the general bilinear time series model
On the stationarity of Markov-switching GARCH processes
Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS
Some remarks on bilinear time series models
Stationarity and -mixing of general Markov-switching bilinear processes
Stationarity of multivariate Markov-switching ARMA models
Strict stationarity of generalized autoregressive processes
The \(L^2\)-structures of standard and switching-regime GARCH models

Cited in

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A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency
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QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes
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