Markov switch smooth transition HYGARCH model: stability and estimation

DOI10.1080/03610926.2019.1576884MaRDI QIDQ5077192zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 5002302 (Why is no real title available?)
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• Autoregressive Conditional Density Estimation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive conditional heteroskedasticity and changes in regime
• Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
• Calculating posterior distributions and modal estimates in Markov mixture models
• Forecasting Stock Market Volatility with Regime-Switching GARCH Models
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Generalized autoregressive conditional heteroscedasticity
• Inertia characteristics of self-adjoint matrix polynomials
• Markov switching component GARCH model: stability and forecasting
• On the stationarity of Markov-switching GARCH processes
• On the threshold hyperbolic GARCH models
• Sampling-Based Approaches to Calculating Marginal Densities
• Theory and inference for a Markov switching GARCH model

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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