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Long memory with Markov-Switching GARCH
Krämer, Walter (contributor) - 2008
Persistent link: https://www.econbiz.de/10003641700
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l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David; Sardy, Sylvain; Tseng, Paul - 2009
Persistent link: https://www.econbiz.de/10003926975
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - In: Journal of econometrics 178 (2014) 1, pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
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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
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010501257
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of di erent models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010503909
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Structural vector autoregressions with heteroskedasticity : a comparison of different volatility models
Lütkepohl, Helmut; Netšunajev, Aleksei - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...
Persistent link: https://www.econbiz.de/10010509631
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Monetary shocks, equity returns and volatility : a firm-level panel data analysis
Luo, H. Arthur; Cheng, Jen-chi; Vijverberg, Chu-ping C. - In: Applied economics 48 (2016) 4/6, pp. 261-275
Persistent link: https://www.econbiz.de/10011412709
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Selection criteria in regime switching conditional volatility models
Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316
Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …
Persistent link: https://www.econbiz.de/10011297653
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Dynamic mixture models for financial time series
Haas, Markus - 2004 - 1. Aufl.
series, namely, mixed normal and Markov-switching GARCH models. In the second part of the study, we also consider …
Persistent link: https://www.econbiz.de/10002452594