The L^2-structures of standard and switching-regime GARCH models
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Publication:2567232
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Cited in
(36)- Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
- The functional central limit theorem for Markov-switching GARCH model
- Testing for two states in a hidden Markov model
- Stationarity and ergodicity of Markov switching positive conditional mean models
- Stability of nonlinear stochastic recursions with application to nonlinear AR-GARCH models
- Spectral representation of Markov-switching bilinear processes
- Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic
- On the stationarity of Markov-switching GARCH processes
- Maximum likelihood estimation of the Markov-switching GARCH model
- On the existence of stationary threshold bilinear processes
- The functional central limit theorem for the multivariate MS-ARMA-GARCH model
- Spectral representation and autocovariance structure of Markov switching DSGE models
- Asymptotic inference for periodic ARCH processes
- Statistical inference for mixture GARCH models with financial application
- Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
- Third and fourth moments of vector autoregressions with regime switching
- On mixture autoregressive conditional heteroskedasticity
- Structure of a double autoregressive process driven by a hidden Markov chain
- Minimum distance estimation of Markov-switching bilinear processes
- Long memory with Markov-switching GARCH
- Integrated Markov-switching GARCH process
- On the Markov-switching bilinear processes: stationarity, higher-order moments and \(\beta\)-mixing
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- Research on the value at risk of basis for stock index futures hedging in China based on two-state Markov process and semiparametric RS-GARCH model
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- Markov-switching BILINEAR-GARCH models: structure and estimation
- The autocorrelation structure of the Markov-switching asymmetric power GARCH process
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