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

DOI10.1016/J.SPL.2007.02.009MaRDI QIDQ2467375zbMATH OpenOpenAlexFDO

Authors 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)

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Cites work

• scientific article; zbMATH DE number 3138903 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• "Infinite Variance" and Research Strategy in Time Series Analysis
• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Modelling the persistence of conditional variances
• On a threshold autoregression with conditional heteroscedastic variances
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
• On the use of the deterministic Lyapunov function for the ergodicity of stochastic difference equations
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• Strict stationarity of generalized autoregressive processes
• Subadditive ergodic theory
• Threshold \(\text{Arch}(1)\) processes: Asymptotic inference

Cited in

(11)

• 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
• Structure of a double autoregressive process driven by a hidden Markov chain
• Integrated Markov-switching GARCH process
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes
• A family of Markov-switching GARCH processes
• 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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