Moments of Markov-Switching Models
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Publication:5176899
DOI10.2478/TMMP-2014-0032zbMATH Open1395.60081OpenAlexW2024801431MaRDI QIDQ5176899
Publication date: 4 March 2015
Published in: Tatra Mountains Mathematical Publications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2478/tmmp-2014-0032
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
Related Items (5)
Marginal distribution of Markov-switching <scp>VAR</scp> processes ⋮ Stochastic models based on moment matching ⋮ Adding flexibility to Markov Switching models ⋮ Some characterizations for the CIR model with Markov switching ⋮ Moments of Markov random evolutions
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