Markov switching GARCH models: filtering, approximations and duality

DOI10.1007/978-3-319-50234-2_5MaRDI QIDQ4609750zbMATH OpenOpenAlexFDO

Authors Monica Billio, Maddalena Cavicchioli

Publication date 26 March 2018

Published in Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10278/3697404

zbMATH Keywords

GARCH modelsMarkov switchingshort-term interest rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive conditional heteroskedasticity and changes in regime
• Conditional heteroskedasticity driven by hidden Markov chains
• Dynamic linear models with Markov-switching
• Efficient Gibbs sampling for Markov switching GARCH models
• Marginal likelihood for Markov-switching and change-point GARCH models
• Maximum likelihood estimation of the Markov-switching GARCH model
• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
• The \(L^2\)-structures of standard and switching-regime GARCH models
• Theory and inference for a Markov switching GARCH model
• Time Series and Dynamic Models

Cited in

(6)

• Statistical inference for mixture GARCH models with financial application
• Estimating the term premium by a Markov switching model with ARMA-GARCH errors
• Markov switching models in empirical finance
• Markov-Switching GARCH Modelling of Value-at-Risk
• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
• Theory and inference for a Markov switching GARCH model

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