Conditional Heteroskedasticity Driven by Hidden Markov Chains

DOI10.1111/1467-9892.00219zbMath0972.62077OpenAlexW3123393297MaRDI QIDQ2740104

Jean-Michel Zakoian, Michel Roussignol, Christian Francq

Publication date: 16 September 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://crest.science/RePEc/wpstorage/1998-45.pdf

zbMATH Keywords

consistencyARCH modelsmaximum likelihoodstationary solutionsnonlinear time seriesGARCH modelshidden Markov chainsswitching models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (30)

Neglecting parameter changes in GARCH models ⋮ ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES ⋮ Maximum likelihood estimation of the Markov-switching GARCH model ⋮ Statistical inference for mixture GARCH models with financial application ⋮ On mixture autoregressive conditional heteroskedasticity ⋮ Structural change and estimated persistence in the \(GARCH(1,1)\)-model ⋮ Long memory with Markov-switching GARCH ⋮ Evaluating the Lyapounov Exponent and Existence of Moments for Threshold AR-ARCH Models ⋮ A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns ⋮ Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure ⋮ Markov Switching GARCH Models: Filtering, Approximations and Duality ⋮ Modeling time-varying parameters using artificial neural networks: a GARCH illustration ⋮ Structure of a double autoregressive process driven by a hidden Markov chain ⋮ Level changes in volatility models ⋮ On geometric ergodicity of CHARME models ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ A Family of Markov‐Switching Garch Processes ⋮ Theory and inference for a Markov switching GARCH model ⋮ Consistency of maximum likelihood estimators for the regime-switching GARCH model ⋮ INTEGRATED MARKOV-SWITCHING GARCH PROCESS ⋮ Stable mixture GARCH models ⋮ Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching ⋮ A general autoregressive model with Markov switching: estimation and consistency ⋮ Ensemble Binary Segmentation for irregularly spaced data with change-points ⋮ Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference ⋮ Forecasting using locally stationary wavelet processes ⋮ Structure and estimation of a class of nonstationary yet nonexplosive GARCH models ⋮ Mixtures of Nonlinear Poisson Autoregressions ⋮ The \(L^2\)-structures of standard and switching-regime GARCH models ⋮ Neglecting structural breaks when estimating and valuing dynamic correlations for asset allocation

This page was built for publication: Conditional Heteroskedasticity Driven by Hidden Markov Chains