Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes

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Kalman filter-based modelling and forecasting of stochastic volatility with threshold (2015, methodology): “The AR-ARCH model has also been used as basic ‘building blocks’ for Markov switching and mixture models [14].”
Markov Switching Models in Empirical Finance (2011, background): “Lanne and Saikkonen (2003) show that a mixture of autoregressions with two regimes improves forecasts of weekly U.”
On a mixture vector autoregressive model (2007, unknown): “Wong & Li (2001a), Berchtold (2003) and Lanne & Saikkonen (2003) further extended the mixture model to capture heteroscedasticity in time series.”