Markov Switching GARCH Models: Filtering, Approximations and Duality

DOI10.1007/978-3-319-50234-2_5zbMath1383.62201OpenAlexW2776463719MaRDI QIDQ4609750

Maddalena Cavicchioli, Monica Billio

Publication date: 26 March 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10278/3697404

zbMATH Keywords

Markov switchingGARCH modelsshort-term interest rates

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02)

Related Items (1)

Statistical inference for mixture GARCH models with financial application

Cites Work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Dynamic linear models with Markov-switching
• Autoregressive conditional heteroskedasticity and changes in regime
• Maximum likelihood estimation of the Markov-switching GARCH model
• Efficient Gibbs sampling for Markov switching GARCH models
• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
• Marginal likelihood for Markov-switching and change-point GARCH models
• The \(L^2\)-structures of standard and switching-regime GARCH models
• Conditional Heteroskedasticity Driven by Hidden Markov Chains
• Theory and inference for a Markov switching GARCH model
• Time Series and Dynamic Models

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