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Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic
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Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic (2021)Markov Switching Garch Models: Higher Ord…Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models (2018)Confidence Intervals for Cond…Theory and inference for a Markov switching GARCH model (2010)Theory and inference for a Ma…Volatility forecasting with double Markov switching GARCH models (2008)Volatility forecasting with d…Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference (2007)Deriving the autocovariances …On a Mixture GARCH Time‐Series Model (2006)On a Mixture GARCH Time‐Serie…The L2 -structures of standard and switching-regime GARCH models (2005)The L2 -structures of standar…Structural Breaks, Incomplete Information, and Stock Prices (2001)Structural Breaks, Incomplete…On a Mixture Autoregressive Conditional Heteroscedastic Model (2001)On a Mixture Autoregressive C…Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility (1997)Markov Switching in GARCH Pro…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A Markov Model of Switching-Regime ARCH (1994)A Markov Model of Switching-R…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The caudal characteristic curve of queues (1984)The caudal characteristic cur…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Asset Prices in an Exchange Economy (1978)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Reconciling the Return Predictability Evidence (2007)Regime Changes and Financial Markets (2012)Investor Attention and Stock Market Volatility (2014)ARCH modeling in finance (1992)A New Approach to Markov-Switching GARCH Models (2004)Regime switching models (2010)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)Why Does Stock Market Volatility Change Over Time? (1989)Risk model-at-risk (2014)Forecasting crude oil price volatility (2018)Forecasting risk with Markov-switching GARCH models:A large-scale performance study (2018)Econometric Analysis of Cross Section and Panel Data (2001)Recent Theoretical Results for Time Series Models with GARCH Errors (2002)Modelling Nonlinear Economic Time Series (2010)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Discrete Choice Methods with Simulation (2001)
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References

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  • 2001On a Mixture Autoregressive Conditional Heteroscedastic Model178 cited
  • 2001Structural Breaks, Incomplete Information, and Stock Prices173 cited
  • 1984The caudal characteristic curve of queues86 cited
  • 2005The L2 -structures of standard and switching-regime GARCH models75 cited
  • 2007Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference57 cited
  • 2008Volatility forecasting with double Markov switching GARCH models51 cited
  • 2006

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On a Mixture GARCH Time‐Series Model
44 cited
  • 2018Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models35 cited
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