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math.ST2025
Estimating weak Markov-switching AR(1) models
Yacouba Boubacar Mainassara, Landy Rabehasaina, Armel Bra
In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption tha…
math.ST2018
Estimation of multivariate asymmetric power GARCH models
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
It is now widely accepted that volatility models have to incorporate the so-called leverage effect in order to to model the dynamics of daily financial returns.We suggest a new cla…