ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES

By Ari Abramson. Econometric Theory, 2007

52 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2641d4d2d3a0393521e956711d5592e6faee3ed3

Citations in the corpus

• Forecasting crude oil price volatility (2018, unknown): “The standard deviations from both regimes are close, however, shocks are very persistent in regime 2 as α((2)) 1 + γ (2) 1 is close to 1, but not in regime 1.”