Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process

DOI10.1016/j.spl.2007.02.009zbMath1130.60043OpenAlexW2068633780MaRDI QIDQ2467375

Ji-Chun Liu

Publication date: 21 January 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.02.009

zbMATH Keywords

weak stationaritystrict stationaritythreshold GARCHexistence of momentsMarkov-switching GARCH

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Stochastic stability in control theory (93E15)

Related Items (7)

A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns ⋮ Structure of a double autoregressive process driven by a hidden Markov chain ⋮ The autocorrelation structure of the Markov-switching asymmetric power GARCH process ⋮ Stable mixture GARCH models ⋮ Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients ⋮ QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes ⋮ A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors

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