کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417285 681479 2008 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
چکیده انگلیسی

A procedure is proposed for computing the autocovariances and the ARMA representations of the squares, and higher-order powers, of Markov-switching GARCH models. It is shown that many interesting subclasses of the general model can be discriminated in view of their autocovariance structures. Explicit derivation of the autocovariances allows for parameter estimation in the general model, via a GMM procedure. It can also be used to determine how many ARMA representations are needed to identify the Markov-switching GARCH parameters. A Monte Carlo study and an application to the Standard & Poor index are presented.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 52, Issue 6, 20 February 2008, Pages 3027–3046
نویسندگان
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