On the Markov-switching autoregressive stochastic volatility processes

DOI10.1007/s40324-023-00329-1MaRDI QIDQ6642745

Ahmed Ghezal, Unnamed Author

Publication date: 25 November 2024

Published in: S\(\vec{\text{e}}\)MA Journal (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilitygeometric ergodicityQMLEMarkov-switching autoregressionstrictly (second-order) stationarity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Stationary stochastic processes (60G10) Markov processes (60Jxx)

Cites Work

• Unnamed Item
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• A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency
• Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic

Related Items (1)

Spectral representation of Markov-switching bilinear processes

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