Optimal Forecasts from Markov Switching Models

DOI10.1080/07350015.2016.1219264zbMATH Open1547.62633MaRDI QIDQ6623214

Tom Boot, Andreas Pick

Publication date: 23 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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• Dynamic linear models with Markov-switching
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Optimal forecasts in the presence of structural breaks
• Markov Switching Models in Empirical Finance
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
• A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP

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