Spectral analysis of Markov switching GARCH models with statistical inference

DOI10.1111/SJOS.12571MaRDI QIDQ5889491zbMATH OpenOpenAlexFDO

Authors Maddalena Cavicchioli

Publication date 21 April 2023

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/sjos.12571

zbMATH Keywords

ARMA representationautocovarianceMarkov switching GARCHnonlinear time seriesspectral densitystationarity

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(3)

• Spectral representation and autocovariance structure of Markov switching DSGE models
• Spectral analysis for GARCH processes through a bilinear representation
• Multivariate Markov switching Stingo, Francesco Claudio models: filtering, estimation and data analysis

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