A DOUBLY MARKOV SWITCHING AR MODEL: SOME PROBABILISTIC PROPERTIES AND STRONG CONSISTENCY
A Ghezal - Journal of Mathematical Sciences, 2023 - Springer
In this work, we consider doubly Markov switching AR models, where analytic tractability and
flexibility are quite simply a competitive advantage, which becomes an attractive tool for …
flexibility are quite simply a competitive advantage, which becomes an attractive tool for …
Estimating MS-BLGARCH Models Using Recursive Method
A Ghezal, I Zemmouri - Pan-American Journal of Mathematics, 2023 - mathyze.com
In this paper a new class of models is proposed for modeling nonlinear and stationary time
series. This new class of models is referred to as the Markov-switching bilinear GARCH (MS …
series. This new class of models is referred to as the Markov-switching bilinear GARCH (MS …