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ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV‐SWITCHING VAR(CH) MODELS
5 references·2 citing·25 second hop
ANALYSIS OF THE LIKELIHOOD FUNCTION FOR MARKOV‐SWITCHING VAR(CH) MODELS (2014)ANALYSIS OF THE LIKELIHOOD FUNCTION FOR M…On a Mixture Autoregressive Conditional Heteroscedastic Model (2001)On a Mixture Autoregressive C…Markov-Switching Vector Autoregressions (1997)Markov-Switching Vector Autor…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Chapter 49 Arch models (1994)Chapter 49 Arch modelsAsymptotic Theory for ARCH Models: Estimation and Testing (1986)Asymptotic Theory for ARCH Mo…Impulse response function analysis for Markov switching var models (2023)Impulse response function ana…Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models (2017)Inference on Filtered and Smo…The Pricing of Options and Corporate Liabilities (1973)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)ARMA MODELS WITH ARCH ERRORS (1984)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Book Review: Time Series Analysis: Forecasting and Control (1977)Autoregressive conditional heteroskedasticity and changes in regime (1994)Recent Theoretical Results for Time Series Models with GARCH Errors (2002)A New Approach to Markov-Switching GARCH Models (2004)Modelling Nonlinear Economic Time Series (2010)Output Fluctuations in the United States: What Has Changed since the Early 1980's?A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Alternative models for conditional stock volatility (1990)Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis (1997)Regime-dependent impulse response functions in a Markov-switching vector autoregression model (2003)Markov-Switching Models of the German Business Cycle (1997)The European business cycle (2003)Regime switching models (2010)Time-varying short-horizon predictability☆ (2010)
this work references cited by second hop

References

  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1994Chapter 49 Arch models892 cited
  • 1997Markov-Switching Vector Autoregressions583 cited
  • 1986Asymptotic Theory for ARCH Models: Estimation and Testing520 cited
  • 2001On a Mixture Autoregressive Conditional Heteroscedastic Model178 cited

Cited by

  • 2017Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models13 cited
  • 2023Impulse response function analysis for Markov switching var models8 cited

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