On the Markov-switching bilinear processes: stationarity, higher-order moments and β-mixing
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Publication:2804016
DOI10.1080/17442508.2015.1019881zbMath1343.62054OpenAlexW1909798275MaRDI QIDQ2804016
Abdelouahab Bibi, Ahmed Ghezal
Publication date: 27 April 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2015.1019881
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)
Related Items (6)
Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency ⋮ Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends ⋮ Markov-switching BILINEAR − GARCH models: Structure and estimation ⋮ QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes ⋮ Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
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