Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference

DOI10.1016/j.csda.2007.08.003zbMath1452.62634OpenAlexW2039981263MaRDI QIDQ1023632

Christian Francq, Jean-Michel Zakoian

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.08.003

zbMATH Keywords

HMMGARCHMarkov-switching modelsARMA representationGMM procedure

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (19)

Maximum likelihood estimation of the Markov-switching GARCH model ⋮ Statistical inference for mixture GARCH models with financial application ⋮ On mixture autoregressive conditional heteroskedasticity ⋮ Efficient Gibbs sampling for Markov switching GARCH models ⋮ Stationarity and ergodicity of Markov switching positive conditional mean models ⋮ Minimum distance estimation of Markov-switching bilinear processes ⋮ A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency ⋮ A simulation study on the Markov regime-switching zero-drift GARCH model ⋮ Computing and estimating information matrices of weak ARMA models ⋮ Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure ⋮ Bayesian analysis of periodic asymmetric power GARCH models ⋮ Modeling time-varying parameters using artificial neural networks: a GARCH illustration ⋮ Ergodicity conditions for a double mixed Poisson autoregression ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ Regime switching model estimation: spectral clustering hidden Markov model ⋮ A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect ⋮ Marginal likelihood for Markov-switching and change-point GARCH models ⋮ Editorial: Special issue on statistical and computational methods in finance ⋮ A nesting framework for Markov-switching GARCH modelling with an application to the German stock market

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