TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING

DOI10.1017/S136510050001703XzbMath0979.91079OpenAlexW2064787898MaRDI QIDQ2704141

Eric Ghysels

Publication date: 18 February 2002

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s136510050001703x

zbMATH Keywords

time seriesMarkov regime-switching modelsperiodic ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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