A family of Markov-switching GARCH processes
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive conditional heteroskedasticity and changes in regime
- Conditional heteroskedasticity driven by hidden Markov chains
- Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 3251902 (Why is no real title available?)
- Implicit renewal theory and tails of solutions of random equations
- Limit theory for bilinear processes with heavy-tailed noise
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Matrix Analysis
- Non-negative matrices and Markov chains.
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
- Properties of moments of a family of GARCH processes
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Regular variation of GARCH processes.
- Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
- Stationarity of GARCH processes and of some nonnegative time series
- Strict stationarity of generalized autoregressive processes
- Subadditive ergodic theory
- Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients
- The \(L^2\)-structures of standard and switching-regime GARCH models
- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- Threshold \(\text{Arch}(1)\) processes: Asymptotic inference
- Threshold heteroskedastic models
Cited in
(7)- Long memory with Markov-switching GARCH
- Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
- Skew-Normal Mixture and Markov-Switching GARCH Processes
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
- Markov-Switching GARCH Modelling of Value-at-Risk
- Structure of a double autoregressive process driven by a hidden Markov chain
- Integrated Markov-switching GARCH process
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