1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.ST2016
Markov Switching Smooth Transition GARCH Model
N. AleMohammad, S. Rezakhah, H. Hoseinalizadeh
A Markov switching asymmetric GARCH model which imposes more leverage effect of the negative shocks is considered. The asymptotic behavior of the second moment is investigated and…
stat.ME2013★ 1 cited
Markov Switching Component ARCH Model: Stability and Forecasting
N. Alemohammad, S. Rezakhah, S. H. Alizadeh
This paper introduces an extension of the Markov switching GARCH model where the volatility in each state is a convex combination of two different GARCH components with time varyin…