A Markov-switching regression model with non-Gaussian innovations: estimation and testing

DOI10.1515/SNDE-2015-0118OpenAlexW2592505882MaRDI QIDQ2691700

Cinzia Viroli, Luca De Angelis

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0118

zbMATH Keywords

normal inverse Gaussian distributionMarkov-switchingmarket regimesreturn time series analysis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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