On the Markov-switching autoregressive stochastic volatility processes
A Ghezal, I Zemmouri - SeMA Journal, 2024 - Springer
Regime switching models are able to capture clustering effects, nonlinearities in time series
and jumps in volatility. In the present paper, we propose a broad class of Markov-switching …
and jumps in volatility. In the present paper, we propose a broad class of Markov-switching …
Markov-switching threshold stochastic volatility models with regime changes
A Ghezal, I Zemmouri - AIMS Mathematics, 2024 - aimspress.com
This paper introduces a comprehensive class of models known as Markov-Switching
Threshold Stochastic Volatility (MS-TSV) models, specifically designed to address …
Threshold Stochastic Volatility (MS-TSV) models, specifically designed to address …
[PDF][PDF] Fourth moment structure of the BL-GARCH (p, q, d) models
A Ghezal, A Zerari, I Zemmouri - pjm.ppu.edu
In this article, we explore a broad class of Bilinear-GARCH processes, abbreviated as BL-
GARCH. Our exclusive focus lies on examining the moment structure of the BL-GARCH …
GARCH. Our exclusive focus lies on examining the moment structure of the BL-GARCH …