A simulation study on the Markov regime-switching zero-drift GARCH model
From MaRDI portal
Publication:6148769
DOI10.1007/S10479-020-03832-0OpenAlexW3096825784MaRDI QIDQ6148769
Publication date: 8 February 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-020-03832-0
Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Inference from stochastic processes (62Mxx)
Cites Work
- Bootstrapping GMM estimators for time series
- Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
- An ARCH model without intercept
- Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- On Chinese stock markets: how have they evolved over time?
- The ZD-GARCH model: a new way to study heteroscedasticity
- Generalized autoregressive conditional heteroscedasticity
- Real time estimation of stochastic volatility processes
- Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model
- A conditional-SGT-VaR approach with alternative GARCH models
- Theory and inference for a Markov switching GARCH model
- Forecasting Stock Market Volatility with Regime-Switching GARCH Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Fractionally integrated GARCH model with tempered stable distribution: a simulation study
- Handbook of Volatility Models and Their Applications
This page was built for publication: A simulation study on the Markov regime-switching zero-drift GARCH model
