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Communications in Statistics - Theory and Methods Volume 47, 2018 - Issue 2
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Original Articles

Markov-switching BILINEAR − GARCH models: Structure and estimation

Abdelouahab BibiDepartment of Mathematics, UMC(1), Constantine, AlgeriaCorrespondence[email protected]
&
Ahmed GhezalDepartment of Mathematics, UMC(1), Constantine, Algeria
Pages 307-323 | Received 27 Jan 2016, Accepted 28 Feb 2017, Published online: 11 Sep 2017

Citations (11)

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Read on this site (3)

Maddalena Cavicchioli. (2023) Generalized autocovariance matrices for multivariate time series. Communications in Statistics - Theory and Methods 0:0, pages 1-21.
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Maddalena Cavicchioli. (2022) Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic. Journal of Business & Economic Statistics 40:4, pages 1772-1783.
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Abdelouahab Bibi & Ahmed Ghezal. (2019) QMLE of periodic time-varying bilinear– GARCH models. Communications in Statistics - Theory and Methods 48:13, pages 3291-3310.
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Articles from other publishers (8)

Ahmed Ghezal, Mohamed balegh & Imane Zemmouri. (2024) Markov-switching threshold stochastic volatility models with regime changes. AIMS Mathematics 9:2, pages 3895-3910.
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Ahmed Ghezal, Mohamed Balegh & Imane Zemmouri. (2024) Solutions and local stability of the Jacobsthal system of difference equations. AIMS Mathematics 9:2, pages 3576-3591.
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Maddalena Cavicchioli. (2023) LIKELIHOOD-BASED ANALYSIS IN MIXTURE GLOBAL VARs. Journal of Mathematical Sciences 271:3, pages 341-353.
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Maddalena Cavicchioli. (2022) Spectral analysis of Markov switching GARCH models with statistical inference. Scandinavian Journal of Statistics 50:1, pages 102-119.
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Ahmed Ghezal. (2023) A DOUBLY MARKOV SWITCHING AR MODEL: SOME PROBABILISTIC PROPERTIES AND STRONG CONSISTENCY. Journal of Mathematical Sciences 271:1, pages 66-75.
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Maddalena Cavicchioli. (2021) Statistical inference for mixture GARCH models with financial application. Computational Statistics 36:4, pages 2615-2642.
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Ahmed Ghezal. (2019) QMLE for Periodic Time-Varying Asymmetric $$\log $$ GARCH Models. Communications in Mathematics and Statistics 9:3, pages 273-297.
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William W.S. Wei. 2019. Multivariate Time Series Analysis and Applications. Multivariate Time Series Analysis and Applications 203 235 .

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