Spectral analysis of Markov switching GARCH models with statistical inference

DOI10.1111/sjos.12571OpenAlexW4206256384MaRDI QIDQ5889491

Maddalena Cavicchioli

Publication date: 21 April 2023

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12571

zbMATH Keywords

stationarityspectral densitynonlinear time seriesARMA representationautocovarianceMarkov switching GARCH

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Spectral analysis for GARCH processes through a bilinear representation

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