Stelzer, Robert
On the relation between the vec and BEKK multivariate GARCH models
Econ. Theory
2008
24
04

Stelzer, Robert
Multivariate Markov-switching ARMA processes with regularly varying noise
Journal of Multivariate Analysis
2008
99
6
1177-1190

Stelzer, Robert
On Markov-switching ARMA processes - stationarity, existence of moments and geometric ergodicit
Econometric Theory
2009
25
01
43