Markov switch smooth transition HYGARCH model: stability and estimation

DOI10.1080/03610926.2019.1576884OpenAlexW2962693530MaRDI QIDQ5077192FDOQ5077192

Authors: Ferdous Mohammadi Basatini, Saeid Rezakhah 

Publication date: 18 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.00739

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zbMATH Keywords

Markov switchingsmooth transitiongriddy Gibbs samplingHYGARCHlong rang dependence

Mathematics Subject Classification ID

Statistics (62-XX) Bayesian inference (62F15) Economic time series analysis (91B84) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cites Work

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• Theory and inference for a Markov switching GARCH model
• Forecasting Stock Market Volatility with Regime-Switching GARCH Models
• Autoregressive Conditional Density Estimation
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• Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
• On the threshold hyperbolic GARCH models
• Markov switching component GARCH model: stability and forecasting
• On the stationarity of Markov-switching GARCH processes

Cited In (3)

• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• Markov switching asymmetric GARCH model: stability and forecasting
• Markov Switch Smooth Transition HYGARCH Model: Stability and Estimation

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