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~isPartOf:"Computational economics"
~isPartOf:"Econometric theory"
~subject:"ARCH model"
~subject:"Heteroskedastizität"
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Search: subject_exact:"Markov process"
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Computational economics
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21
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13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu
;
McAleer, Michael
- In:
Computational economics
59
(
2022
)
1
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013168928
Saved in:
2
Bayesian analysis of power-transformed and threshold GARCH models : a Griddy-Gibbs sampler approach
Xia, Qiang
;
Wong, Heung
;
Liu, Jinshan
;
Liang, Rubing
- In:
Computational economics
50
(
2017
)
3
,
pp. 353-372
Persistent link: https://www.econbiz.de/10011783316
Saved in:
3
Bayesian unit root test in double threshold heteroskedastic models
Chen, Cathy W. S.
;
Chen, Shu-yu
;
Lee, Sangyeol
- In:
Computational economics
42
(
2013
)
4
,
pp. 471-490
Persistent link: https://www.econbiz.de/10010249863
Saved in:
4
Parameter estimation in nonlinear AR-GARCH models
Meitz, Mika
;
Saikkonen, Pentti
- In:
Econometric theory
27
(
2011
)
6
,
pp. 1236-1278
Persistent link: https://www.econbiz.de/10009489714
Saved in:
5
Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
Chen, Bin
;
Hong, Yongmiao
- In:
Econometric theory
26
(
2010
)
4
,
pp. 1115-1179
Persistent link: https://www.econbiz.de/10003993831
Saved in:
6
Integrated Markov-switching GARCH process
Liu, Ji-Chun
- In:
Econometric theory
25
(
2009
)
5
,
pp. 1277-1288
Persistent link: https://www.econbiz.de/10003885752
Saved in:
7
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
Meitz, Mika
;
Saikkonen, Pentti
- In:
Econometric theory
24
(
2008
)
5
,
pp. 1291-1320
Persistent link: https://www.econbiz.de/10003748759
Saved in:
8
On the stationarity of Markov-switching GARCH processes
Abramson, Ari
;
Cohen, Israel
- In:
Econometric theory
23
(
2007
)
3
,
pp. 485-500
Persistent link: https://www.econbiz.de/10003541260
Saved in:
9
ARMA representation of squared Markov switching heteroskedastic models - solution
Distaso, Walter
- In:
Econometric theory
19
(
2003
)
2
,
pp. 412-413
Persistent link: https://www.econbiz.de/10001745838
Saved in:
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