Stationarity of multivariate markov-switching ARMA models
Year of publication: |
2000
|
---|---|
Authors: | Francq, Christian ; Zakoïan, Jean-Michel |
Publisher: |
[Paris] |
Subject: | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARMA-Modell | ARMA model |
-
Bac, Catherine, (2001)
-
Time-series model with periodic stochastic regime switching: Part 1 : Theory
Ghysels, Eric, (2000)
-
Stationarity of multivariateMarkov-switching ARMA models
Francq, Christian, (2001)
- More ...
-
GARCH models : structure, statistical inference and financial applications
Francq, Christian, (2010)
-
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions
Francq, Christian, (2013)
-
Francq, Christian, (2014)
- More ...