ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES

DOI10.1017/S0266466607070211zbMath1237.62106MaRDI QIDQ2886955

Ari Abramson, Israel Cohen

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G10: Stationary stochastic processes

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

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Cites Work

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