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A Family of Markov‐Switching Garch Processes - MaRDI portal

A Family of Markov‐Switching Garch Processes (Q5397964)

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scientific article; zbMATH DE number 6261463

Language	Label	Description	Also known as
English	A Family of Markov‐Switching Garch Processes	scientific article; zbMATH DE number 6261463

Statements

scholarly article

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A Family of Markov‐Switching Garch Processes (English)

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Journal of Time Series Analysis

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publication date

25 February 2014

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zbMATH Keywords

Markov-switching GARCH

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heavy-tail distribution

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strict stationarity

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integrated Markov-switching GARCH

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moments

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9892.2012.00804.x

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Regular variation of GARCH processes.

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Generalized autoregressive conditional heteroscedasticity

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The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors

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Stationarity of GARCH processes and of some nonnegative time series

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Strict stationarity of generalized autoregressive processes

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Limit theory for bilinear processes with heavy-tailed noise

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Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes

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Tail of the stationary solution of the stochastic equation \(Y_{n+1}=a_{n} Y_{n}+b_{n}\) with Markovian coefficients

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Conditional Heteroskedasticity Driven by Hidden Markov Chains

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The \(L^2\)-structures of standard and switching-regime GARCH models

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Implicit renewal theory and tails of solutions of random equations

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Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Autoregressive conditional heteroskedasticity and changes in regime

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Properties of moments of a family of GARCH processes

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Matrix Analysis

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Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes

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Threshold \(\text{Arch}(1)\) processes: Asymptotic inference

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Subadditive ergodic theory

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ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES

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Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.

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Non-negative matrices and Markov chains.

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Threshold heteroskedastic models

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1111/J.1467-9892.2012.00804.X

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Sitelinks

Mathematics(1 entry)

mardi Publication:5397964

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