The autocorrelation structure of the Markov-switching asymmetric power GARCH process

DOI10.1016/J.SPL.2007.12.025zbMath1152.62055OpenAlexW1977395072MaRDI QIDQ945788

Markus Haas

Publication date: 17 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.12.025

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Estimating the dimension of a model
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• Generalized autoregressive conditional heteroscedasticity
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Modeling volatility persistence of speculative returns: a new approach
• Moments of Markov switching models
• Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
• The \(L^2\)-structures of standard and switching-regime GARCH models
• ON THE TAIL BEHAVIORS OF A FAMILY OF GARCH PROCESSES
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Class of Nonlinear Arch Models
• Threshold heteroskedastic models

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