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Theory and Inference for a Markov Switching GARCH Model · Study

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PreprintTheory and Inference for a Markov Switching GARCH Model

Luc Bauwens2007

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Preprintgreen2007

Theory and Inference for a Markov Switching GARCH Model

Luc Bauwens · Arie Preminger · Jeroen V.K. Rombouts

41 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Markov Chains and Monte Carlo Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1989Why Does Stock Market Volatility Change Over Time?2006Analysis of Financial Time Series 1994Autoregressive conditional heteroskedasticity and changes in regime 1996Modeling the conditional distribution of interest rates as a regime-switching process 2002Bayesian Analysis of Stochastic Volatility Models 1989Why Does Stock Market Volatility Change Over Time?1990Persistence in Variance, Structural Change, and the GARCH Model

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2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models

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2010Theory and inference for a Markov switching GARCH modelarticle · 18 shared references 2014Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returnsarticle · 17 shared references 2009Modelling Regime‐Specific Stock Price Volatility*article · 14 shared references 2006Regime Switching GARCH Modelspreprint · 14 shared references 2009An Introduction to Regime Switching Time Series Modelschapter · 12 shared references 2011Markov Switching Models in Empirical Financechapter · 11 shared references

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Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations41

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1011623

openalex_workW2116582303

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