Markov switching asymmetric GARCH model: stability and forecasting

DOI10.1007/S00362-018-0992-2MaRDI QIDQ779705zbMATHOpenAlexWikidataFDO

Authors N. Alemohammad, S. H. Alizadeh, Saeid Rezakhah

Publication date 14 July 2020

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-018-0992-2

zbMATH Keywords

Bayesian inferenceleverage effectDICMarkov switchingsmooth transitiongriddy Gibbs sampling

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

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Cited in

(4)

• Markov switching component GARCH model: stability and forecasting
• Markov switch smooth transition HYGARCH model: stability and estimation
• A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function
• A component Markov regime‐switching autoregressive conditional range model

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