Stationarity of a Markov-switching GARCH model
Year of publication: |
2006
|
---|---|
Authors: | Liu, Ji-chun |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 4.2006, 4, p. 573-593
|
Subject: | ARCH-Modell | ARCH model | Markov-Kette | Markov chain |
-
Dellaportas, P., (2007)
-
Long memory with Markov-Switching GARCH
Krämer, Walter, (2008)
-
Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus, (2008)
- More ...
-
Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets
Haas, Markus, (2015)
-
Integrated Markov-switching GARCH process
Liu, Ji-Chun, (2009)
-
On the tail behaviors of a family of GARCH processes
Liu, Ji-chun, (2006)
- More ...