Stationarity of Multivariate Markov-Switching ARMA Models

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MCMC-based estimation of Markov Switching ARMA–GARCH models (2011, methodology): “A lot of attention is directed towards these models at the moment and other research, such as that of Francq and Zakoian (2001), has established important results regarding the conditions for stationarity or the tail behaviour of these models.”
Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock (2011, methodology): “13 It includes the Hamilton (1989) regime switching model, and the test on the stationarity test for regime-switching model developed by Francq and Zakoian (2001) .”
Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables (2003, background): “Since {st} and {ft} are typically found in practice to be best described as integrated processes of order one which cointegrate with cointegrating parameter unity, (4)—(5) are often expressed as”