ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES

DOI10.1017/S0266466607070211zbMath1237.62106MaRDI QIDQ2886955

Ari Abramson, Israel Cohen

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (15)

Statistical inference for mixture GARCH models with financial application ⋮ Efficient Gibbs sampling for Markov switching GARCH models ⋮ Markov switch smooth transition HYGARCH model: Stability and estimation ⋮ Stationarity and ergodicity of Markov switching positive conditional mean models ⋮ Parameter estimation of Markov switching bilinear model using the (EM) algorithm ⋮ Minimum distance estimation of Markov-switching bilinear processes ⋮ A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns ⋮ Multivariate Markov-switching score-driven models: an application to the global crude oil market ⋮ Theory and inference for a Markov switching GARCH model ⋮ Markov-switching BILINEAR − GARCH models: Structure and estimation ⋮ On the Markov-switching bilinear processes: stationarity, higher-order moments and β-mixing ⋮ Markov switching component GARCH model: Stability and forecasting ⋮ Markov switching asymmetric GARCH model: stability and forecasting ⋮ A nesting framework for Markov-switching GARCH modelling with an application to the German stock market ⋮ Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models

Cites Work

• Autoregressive conditional heteroskedasticity and changes in regime
• Generalized autoregressive conditional heteroscedasticity
• Moments of Markov switching models
• The \(L^2\)-structures of standard and switching-regime GARCH models
• Conditional Heteroskedasticity Driven by Hidden Markov Chains
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• Note: Some Conditions of Macroeconomic Stability
• A Multiple-Region Theory of Income and Trade
• On square-integrability of an AR process with Markov switching
• Stationarity of multivariate Markov-switching ARMA models

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