Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process

DOI10.1016/J.SPL.2007.02.009zbMATH Open1130.60043OpenAlexW2068633780MaRDI QIDQ2467375FDOQ2467375

Ji-Chun Liu

Publication date: 21 January 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.02.009

zbMATH Keywords

weak stationaritystrict stationaritythreshold GARCHexistence of momentsMarkov-switching GARCH

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Stochastic stability in control theory (93E15)

Cites Work

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• Generalized autoregressive conditional heteroscedasticity
• Autoregressive conditional heteroskedasticity and changes in regime
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Strict stationarity of generalized autoregressive processes
• Modelling the persistence of conditional variances
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Subadditive ergodic theory
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
• On a threshold autoregression with conditional heteroscedastic variances
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• "Infinite Variance" and Research Strategy in Time Series Analysis
• Threshold \(\text{Arch}(1)\) processes: Asymptotic inference

Cited In (8)

• Structure of a double autoregressive process driven by a hidden Markov chain
• QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes
• Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients
• A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors
• A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
• The autocorrelation structure of the Markov-switching asymmetric power GARCH process
• Stable mixture GARCH models

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