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On the tail behaviors of a family of GARCH processes
Liu, Ji-chun - In: Econometric theory 22 (2006) 5, pp. 852-862
Persistent link: https://www.econbiz.de/10003379105
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Integrated Markov-switching GARCH process
Liu, Ji-Chun - In: Econometric theory 25 (2009) 5, pp. 1277-1288
Persistent link: https://www.econbiz.de/10003885752
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Stationarity of a Markov-switching GARCH model
Liu, Ji-chun - In: Journal of financial econometrics : official journal of … 4 (2006) 4, pp. 573-593
Persistent link: https://www.econbiz.de/10003565741
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A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
Haas, Markus; Liu, Ji-Chun - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10011897499
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Stationarity of a Markov-Switching GARCH Model
Liu, Ji-Chun - 2010
This article investigates some structural properties of the Markov-switching GARCH process introduced by Haas, Mittnik, and Paolella. First, a sufficient and necessary condition for the existence of the weakly stationary solution of the process is presented. The solution is weakly stationary,...
Persistent link: https://www.econbiz.de/10012716650