Some Properties Of Vector Autoregressive Processes With Markov-Switching Coefficients
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Volume (Year): 16 (2000)
Issue (Month): 01 (February)
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- Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts, 2010.
"Theory and inference for a Markov switching GARCH model,"
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- BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen VK, "undated". "Theory and inference for a Markov switching Garch model," CORE Discussion Papers RP 2303, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and Inference for a Markov-Switching GARCH Model," Cahiers de recherche 0733, CIRPEE.
- BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen V.K., 2007. "Theory and inference for a Markov switching GARCH model," CORE Discussion Papers 2007055, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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- Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2007. "Theory and inference for a Markov switching GARCH model," Discussion Papers (ECON - Département des Sciences Economiques) 2007033, Université catholique de Louvain, Département des Sciences Economiques.
- Adnan Haider & Musleh ud Din & Ejaz Ghani, 2011. "Consequences of Political Instability, Governance and Bureaucratic Corruption on Inflation and Growth: The Case of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 50(4), pages 773-807.
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- Bibi, Abdelouahab & Ghezal, Ahmed, 2015. "Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 192-202.
- Beg, A.B.M. Rabiul Alam & Anwar, Sajid, 2012. "Sources of volatility persistence: A case study of the U.K. pound/U.S. dollar exchange rate returns," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 165-184.
- Maddalena Cavicchioli, 2014. "Autocovariance and Linear Transformations of Markov Switching VARMA Processes," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 6(4), pages 275-289, December.
- Francq, C. & Zakoian, J. -M., 2001. "Stationarity of multivariate Markov-switching ARMA models," Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June.
- Christian Francq & Jean-Michel Zakoïan, 2000. "Stationarity of Multivariate Markov-Switching ARMA Models," Working Papers 2000-32, Centre de Recherche en Economie et Statistique.
- Sajjad Rasoul & Coakley Jerry & Nankervis John C, 2008. "Markov-Switching GARCH Modelling of Value-at-Risk," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-31, September.
- James D. Hamilton, 2016. "Macroeconomic Regimes and Regime Shifts," NBER Working Papers 21863, National Bureau of Economic Research, Inc.
- Aivazian, Sergey & Bereznyatskiy, Alexander & Brodsky, Boris & Darkhovsky, Boris, 2015. "Statistical analysis of variable-structure models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 84-105.
- repec:hal:journl:halshs-00187910 is not listed on IDEAS
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