On the stationarity of Markov-switching GARCH processes

DOI10.1017/S0266466607070211MaRDI QIDQ2886955zbMATH OpenFDO

Authors Ari Abramson, Israel Cohen

Publication date 14 May 2012

Published in Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stationary stochastic processes (60G10)

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Cites work

• A Multiple-Region Theory of Income and Trade
• Autoregressive conditional heteroskedasticity and changes in regime
• Conditional heteroskedasticity driven by hidden Markov chains
• Generalized autoregressive conditional heteroscedasticity
• Moments of Markov switching models
• Note: Some Conditions of Macroeconomic Stability
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On square-integrability of an AR process with Markov switching
• Stationarity of multivariate Markov-switching ARMA models
• The \(L^2\)-structures of standard and switching-regime GARCH models

Cited in

(25)

• Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution
• Stationarity and ergodicity of Markov switching positive conditional mean models
• COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”
• Stationarity of a family of GARCH processes
• Markov switch smooth transition HYGARCH model: stability and estimation
• Statistical inference for mixture GARCH models with financial application
• Skew-Normal Mixture and Markov-Switching GARCH Processes
• Minimum distance estimation of Markov-switching bilinear processes
• Efficient Gibbs sampling for Markov switching GARCH models
• A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
• A dynamic Markov regime-switching GARCH model and its cumulative impulse response function
• Long memory with Markov-switching GARCH
• Integrated Markov-switching GARCH process
• On the Markov-switching bilinear processes: stationarity, higher-order moments and \(\beta\)-mixing
• Markov switching asymmetric GARCH model: stability and forecasting
• Parameter estimation of Markov switching bilinear model using the (EM) algorithm
• Multivariate Markov-switching score-driven models: an application to the global crude oil market
• Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
• A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
• Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
• Theory and inference for a Markov switching GARCH model
• The \(L^2\)-structures of standard and switching-regime GARCH models
• Markov switching component GARCH model: stability and forecasting
• Markov-switching BILINEAR-GARCH models: structure and estimation
• The autocorrelation structure of the Markov-switching asymmetric power GARCH process

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