Search Results - subject:"Markov-switching VARMA"

Fourth moment structure of markov switching multivariate GARCH models

Cavicchioli, Maddalena - In: Journal of financial econometrics 19 (2021) 4, pp. 565-582

Persistent link: https://www.econbiz.de/10012654989

Spectral density of Markov-switching VARMA models

Cavicchioli, Maddalena - In: Economics Letters 121 (2013) 2, pp. 218-220

We review the main results of Francq and Zakoïan (2001) on stationarity and the autocovariance function for Markov-switching … VARMA models. Then we derive a formula in closed form for the spectral density of such models, and describe some new …

Persistent link: https://www.econbiz.de/10011041786

Spectral density of Markov-switching VARMA models

Cavicchioli, Maddalena - In: Economics letters 121 (2013) 2, pp. 218-220

Persistent link: https://www.econbiz.de/10010346322