Consistency of maximum likelihood estimators for the regime-switching GARCH model

DOI10.1080/02331880701442619zbMath1282.62051OpenAlexW1979657637MaRDI QIDQ5400785

Y. Xie

Publication date: 12 March 2014

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880701442619

zbMATH Keywords

consistencyasymptotic normalityregime switchingMLEGARCH modelmodel specification

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency ⋮ QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes ⋮ Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Maximum-likelihood estimation for hidden Markov models
• Strict stationarity of generalized autoregressive processes
• Subadditive ergodic theory
• Autoregressive conditional heteroskedasticity and changes in regime
• GARCH processes: structure and estimation
• Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
• Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models
• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity Driven by Hidden Markov Chains
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Estimating the Order of Hidden Markov Models

This page was built for publication: Consistency of maximum likelihood estimators for the regime-switching GARCH model