Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space

DOI10.1016/J.ECONLET.2018.06.009zbMath1397.62504OpenAlexW2809247795WikidataQ129678573 ScholiaQ129678573MaRDI QIDQ1787719

Arnaud Dufays, Maciej Augustyniak

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.06.009

zbMATH Keywords

multifractalMarkov-switchingfactorial hidden Markov modelconditional mean model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Unnamed Item
• Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
• A Markov-switching multifractal inter-trade duration model, with application to US equities

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