A0317
Title: Bispectral analysis of Markov switching bilinear models
Authors: Maddalena Cavicchioli - University of Modena and Reggio Emilia (Italy) [presenting]
Ahmed Ghezal - University Center of Mila (Algeria)
Imane Zemmouri - Department of Mathematics, University of Annaba, Elhadjar 23 (Algeria)
Abstract: The purpose is to derive matrix expressions in closed form for the spectral and bispectral densities of Markov switching bilinear models. Under suitable assumptions, the sample estimators of the spectral and bispectral density matrices are proven to be consistent and asymptotically normally distributed. Simulations and empirical applications confirm the validity of the asymptotic properties and the suitability of the proposed methods for the analysis of time series in the frequency domain.
