Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
type: Item
instance of: scholarly article
title: Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
zbMATH Open document ID: 1096.62090
author: Xianqiang Yang
published in: Statistics \& Probability Letters
publication date: 2005-04-07T00:00:00Z
full work available at URL: http://hdl.handle.net/10036/29296
Mathematics Subject Classification ID: 62M20
zbMATH DE Number: 2154032
zbMATH Keywords: Markov-switching
zbMATH Keywords: ARFIMA
zbMATH Keywords: ARCH
zbMATH Keywords: point predictions
zbMATH Keywords: standard errors
describes a project that uses: Ox
MaRDI profile type: Publication
OpenAlex ID: W2107691814
Wikidata QID: Q57941856
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cites work: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
cites work: A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
cites work: Q4840212
cites work: Autoregressive conditional heteroskedasticity and changes in regime
cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach
DOI: 10.1016/J.SPL.2004.02.004
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description: scientific article; zbMATH DE number 2154032