In the present paper, we study some probabilistic and statistical properties of the Markov-
switching asymmetric logGARCH processes, where the log− volatility follows a standard …

In this article, we derive neat matrix formulas in closed form for computing higher order
moments and kurtosis of univariate Markov switching GARCH models. Then we provide …

We presented a comprehensive theory for deriving closed-form expressions and
representations of the general solutions for a specific case of systems involving Riccati …

This paper establishes probabilistic and statistical properties of the extension of time-
invariant coefficients asymmetric\log log GARCH processes to periodically time-varying …

SOLVABILITY OF A BIDIMENSIONAL SYSTEM OF RATIONAL DIFFERENCE EQUATIONS VIA
MERSENNE NUMBERS Page 1 Palestine Journal of Mathematics Vol 13(2)(2024) , 84–93 © …

We derive matrix expressions in closed form for the autocovariance function and the spectral
density of Markov switching GARCH models and their powers. For this, we apply the Riesz …

In this paper we consider mixture generalized autoregressive conditional heteroskedastic
models, and propose a new iteration algorithm of type EM for the estimation of model …

In this paper, we study the second and third order cumulants of bilinear models with regime
changes according to a Markov chain (MS− BL for short). We provide conditions for the …

In the current paper, we explore some necessary probabilistic properties for the asymptotic
inference of a broad class of periodic bilinear–GARCH processes (P–BLGARCH) obtained …

The paper treats the modeling of stationary multivariate stochastic processes via frequency
domain, and extends the notion of generalized autocovariance function, given by Proietti …