A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle

DOI10.2202/1558-3708.1010zbMath1078.91568OpenAlexW2019327560MaRDI QIDQ3368188

Publication date: 27 January 2006

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

Full work available at URL: https://doi.org/10.2202/1558-3708.1010

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Pricing barrier options by a regime switching model ⋮ Nonstationarities and Markov Switching Models ⋮ Oil prices and economic activity in BRICS and G7 countries ⋮ Asymptotic properties of the maximum likelihood estimator in regime switching econometric models ⋮ Measuring and predicting heterogeneous recessions ⋮ Commodity markets through the business cycle

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