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Theory and inference for a Markov switching GARCH model
Bauwens, Luc (contributor); Preminger, Arie (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003557221
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Theory and inference for a Markov switching GARCH model
Bauwens, Luc (contributor); Preminger, Arie (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003538781
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Theory and inference for a Markov switching GARCH model
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V. K. - In: The econometrics journal 13 (2010) 2, pp. 218-244
Persistent link: https://www.econbiz.de/10003978517
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Theory and inference for a Markov switching GARCH model
Bauwens, Luc (contributor); Preminger, Arie (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003526672
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A component GARCH model with time varying weights
Bauwens, Luc; Storti, Giuseppe - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10009513593
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Theory and inference for a Markov switching Garch model.
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V.K. - Institut d'Économie Appliquée, HEC Montréal (École … - 2007
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity and existence of moments of the process....
Persistent link: https://www.econbiz.de/10005489846
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Regime switching GARCH models
BAUWENS, Luc; PREMINGER, Arie; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2006
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for...
Persistent link: https://www.econbiz.de/10005043540
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Theory and inference for a Markov switching GARCH model
BAUWENS, Luc; PREMINGER, Arie; ROMBOUTS, Jeroen V.K. - Center for Operations Research and Econometrics (CORE), … - 2007
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity and existence of moments of the process....
Persistent link: https://www.econbiz.de/10005008423
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Theory and Inference for a Markov-Switching GARCH Model
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V.K. - Centre Interuniversitaire sur le Risque, les Politiques … - 2007
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity and existence of moments of the process....
Persistent link: https://www.econbiz.de/10005015271
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Regime switching GARCH models
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V.K. - Institut d'Économie Appliquée, HEC Montréal (École … - 2006
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for...
Persistent link: https://www.econbiz.de/10005651462