A family of Markov-switching GARCH processes
DOI10.1111/J.1467-9892.2012.00804.XzbMATH Open1282.60041OpenAlexW1553633074MaRDI QIDQ5397964FDOQ5397964
Authors: Ji-Chun Liu 
Publication date: 25 February 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2012.00804.x
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momentsstrict stationarityheavy-tail distributionMarkov-switching GARCHintegrated Markov-switching GARCH
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stationary stochastic processes (60G10)
Cites Work
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- The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
- The \(L^2\)-structures of standard and switching-regime GARCH models
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Cited In (7)
- Structure of a double autoregressive process driven by a hidden Markov chain
- Skew-Normal Mixture and Markov-Switching GARCH Processes
- Long memory with Markov-switching GARCH
- Integrated Markov-switching GARCH process
- ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
- Markov-Switching GARCH Modelling of Value-at-Risk
- Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
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