Markov switching GARCH models: filtering, approximations and duality

DOI10.1007/978-3-319-50234-2_5zbMATH Open1383.62201OpenAlexW2776463719MaRDI QIDQ4609750FDOQ4609750

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

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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)

Cites Work

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

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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