Long memory with Markov-switching GARCH

DOI10.1016/J.ECONLET.2007.09.027zbMath1255.91358OpenAlexW2101278979MaRDI QIDQ1934779

Walter Kramer

Publication date: 29 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/23070

zbMATH Keywords

long memoryGARCHMarkov switching

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (2)

Long memory and regime switching in the stochastic volatility modelling ⋮ On the origin of high persistence in GARCH-models

Cites Work

• Neglecting parameter changes in GARCH models
• Autoregressive conditional heteroskedasticity and changes in regime
• Structural change and estimated persistence in the \(GARCH(1,1)\)-model
• The \(L^2\)-structures of standard and switching-regime GARCH models
• Conditional Heteroskedasticity Driven by Hidden Markov Chains
• Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
• Long memory and regime switching

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