The L^2-structures of standard and switching-regime GARCH models
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Publication:2567232
DOI10.1016/J.SPA.2005.04.005zbMATH Open1074.60075OpenAlexW2077632979MaRDI QIDQ2567232FDOQ2567232
Authors: C. Francq, Jean-Michel Zakoïan 
Publication date: 29 September 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2005.04.005
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Cited In (35)
- 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
- On the existence of stationary threshold bilinear processes
- Maximum likelihood estimation of the Markov-switching GARCH model
- The functional central limit theorem for the multivariate MS-ARMA-GARCH model
- Spectral representation and autocovariance structure of Markov switching DSGE models
- Probabilistic properties of a Markov-switching periodic GARCH process
- INTEGRATED MARKOV-SWITCHING GARCH PROCESS
- Asymptotic inference for periodic ARCH processes
- Statistical inference for mixture GARCH models with financial application
- Third and fourth moments of vector autoregressions with regime switching
- Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
- On mixture autoregressive conditional heteroskedasticity
- A Family of Markov‐Switching Garch Processes
- Structure of a double autoregressive process driven by a hidden Markov chain
- Markov Switching GARCH Models: Filtering, Approximations and Duality
- Markov-switching BILINEAR − GARCH models: Structure and estimation
- Minimum distance estimation of Markov-switching bilinear processes
- On the Markov-switching bilinear processes: stationarity, higher-order moments and β-mixing
- Long memory with Markov-switching GARCH
- Statistical analysis of mixture vector autoregressive models
- QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes
- Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
- Spectral analysis for GARCH processes through a bilinear representation
- Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
- 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
- A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
- Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
- Theory and inference for a Markov switching GARCH model
- The autocorrelation structure of the Markov-switching asymmetric power GARCH process
- Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models
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