TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING

DOI10.1017/S1365100501018028zbMath1006.91053MaRDI QIDQ2739288

Jean-Michel Chevet, Catherine Bac, Eric Ghysels

Publication date: 2 April 2002

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

zbMATH Keywords

time-series modelMarkov regime-switching modelsgrain priceshistorical inflation chronologies

Mathematics Subject Classification ID

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

This page was built for publication: TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING