Conditional Heteroskedasticity Driven by Hidden Markov Chains

By Christian Francq, Michel Roussignol, Jean-Michel Zakoian. 2001

107 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/aad73853615d032d612e10490e9c1ed34abf47cf

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Donatas Surgailis
2. Liudas Giraitis
3. Remigijus Leipus
4. Marc S. Paolella
5. Stefan Mittnik
6. Markus Haas
7. Timo Teräsvirta
8. A. Lindner

In Statistics and Probability

1. Marc S. Paolella
2. Stefan Mittnik
3. Liudas Giraitis
4. Donatas Surgailis
5. Remigijus Leipus
6. Markus Haas
7. Rania Jammazi
8. Marco Rocco

Citations in the corpus

• Recent Advances in ARCH Modelling (2007, methodology): “Cov(|rt|, |r0|) = (E|r0|)(2)(e 2Cov(ηt,η0)−1) ∼ (δE|r0|)(2)Cov(ηt, η0), (44)”
• Mixed Normal Conditional Heteroskedasticity (2004, result): “This result is similar to the condition for strict stationarity given by Francq et al. (2001) for a regime–switching GARCH(1,1) model.”