Markov-switching ARCH models

被引：0
|
作者：
Francq, C
Roussignol, M
Zakoïan, JM
机构：
[1] Univ Littoral, LMPA Joseph Liouville, F-62228 Calais, France
[2] Univ Marne la Vallee, Equipe Anal & Math Appl, F-93166 Noisy Le Grand, France
[3] Univ Lille 1, F-92245 Malakoff, France
[4] CREST, F-92245 Malakoff, France
来源：
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 2000年 / 330卷 / 10期
关键词：
D O I：
10.1016/S0764-4442(00)00291-3
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We study a class of GARCH models where the parameters are allowed to depend on the state of an unobserved Markov chain. Necessary and sufficient stationarity conditions are given. The consistency of the maximum likelihood estimator is shown. The identification problem is also considered. (C) 2000 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.
引用
收藏
页码：921 / 924
页数：4
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