Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
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Cited by:
- Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013.
"Stable mixture GARCH models,"
Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
- Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011. "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.
- Carol Alexander & Emese Lazar, 2009. "Modelling Regime‐Specific Stock Price Volatility," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 761-797, December.
- Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
- Haas Markus & Liu Ji-Chun, 2018. "A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(3), pages 1-27, June.
- Haas, Markus, 2008. "The autocorrelation structure of the Markov-switching asymmetric power GARCH process," Statistics & Probability Letters, Elsevier, vol. 78(12), pages 1480-1489, September.
- Liu, Ji-Chun, 2012. "Structure of a double autoregressive process driven by a hidden Markov chain," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1468-1473.
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Keywords
Markov-switching GARCH Threshold GARCH Weak stationarity Strict stationarity Existence of moments;Statistics
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