ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES
Author:
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Reference19 articles.
1. On square-integrability of an AR process with Markov switching
2. Modeling the conditional distribution of interest rates as a regime-switching process
3. On a Mixture Autoregressive Conditional Heteroscedastic Model
4. Moments of Markov switching models
5. The L2-structures of standard and switching-regime GARCH models
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2. Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution;Studies in Nonlinear Dynamics & Econometrics;2022-07-21
3. Spectral analysis of Markov switching GARCH models with statistical inference;Scandinavian Journal of Statistics;2022-02-02
4. Stationarity and ergodicity of Markov switching positive conditional mean models;Journal of Time Series Analysis;2021-09-17
5. Cross-sample entropy estimation for time series analysis: a nonparametric approach;Nonlinear Dynamics;2021-07-27
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