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Stationarity of multivariate Markov-switching ARMA models

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Author Info
Francq, C.
Zakoian, J. -M.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 102 (2001)
Issue (Month): 2 (June)
Pages: 339-364
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Handle: RePEc:eee:econom:v:102:y:2001:i:2:p:339-364

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  1. marzia raybaudi & martin sola & fabio spagnolod, 2003. "Red Signals: Trade Deficits and the Current Account," Economics and Finance Discussion Papers 03-14, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  2. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2006. "Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(2), pages 1302-1302. [Downloadable!] (restricted)
  3. fabio spagnolod & Zacharias Psaradakis & Martin Sola, 2003. "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables," Economics and Finance Discussion Papers 03-15, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  4. Dominique Guegan, 2005. "How can we define the concept of long memory ? An econometric survey," Post-Print halshs-00179343_v1, HAL. [Downloadable!]
  5. Maximo Camacho, 2002. "Nonlinear stochastic trends and economic fluctuations," Computing in Economics and Finance 2002 274, Society for Computational Economics. [Downloadable!]
  6. Martin Sola & Zacharias Psaradakis & Fabio Spagnolo, 2005. "Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 423-437. [Downloadable!]
  7. marzia raybaudi & martin sola & fabio spagnolod, 2003. "Red Signals: Trade Deficits and the Current Account," Public Policy Discussion Papers 03-14, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  8. Zacharias Psaradakis & Nicola Spagnolo, 2002. "Power Properties of Nonlinearity Tests for Time Series with Markov Regimes," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 6(3), pages 1091-1091. [Downloadable!] (restricted)
  9. Ekaterini Panopoulou & B. Groom & P. Koundouri & Theologos Pantelidis, 2005. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Economics, Finance and Accounting Department Working Paper Series n1480105, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth. [Downloadable!]
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  10. fabio spagnolod & Zacharias Psaradakis & Martin Sola, 2003. "Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables," Public Policy Discussion Papers 03-15, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
  11. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
  12. Zacharias Psaradakis & Martin Sola & Fabio Spagnolo, 2004. "On Markov error-correction models, with an application to stock prices and dividends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 69-88. [Downloadable!]
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