The L2-structures of standard and switching-regime GARCH models

Stochastic Processes and their Applications

Volumn 115, Issue 9, 2005, Pages 1557-1582

  Francq, Christian ^a   Zaköan, Jean Michel ^b  

^a UNIV LILLE   (France)

^b CREST   (France)

Author keywords

ARMA representation; GARCH; HMM; Markov switching models

Indexed keywords

EIGENVALUES AND EIGENFUNCTIONS; MATHEMATICAL MODELS; MATRIX ALGEBRA; POLYNOMIALS; PROBABILITY; STATE SPACE METHODS; STATISTICAL METHODS; THEOREM PROVING; VECTORS;

ARMA REPRESENTATION; GARCH MODELS; HMM; MARKOV SWITCHING MODELS;

MARKOV PROCESSES;

EID: 23044457404     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2005.04.005     Document Type: Article

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