Moments of Markov-Switching Models
By Anna Petricková. 2014
88 citations recorded by the source corpus.
Abstract In this paper we have focused on the class of regime-switching time series models with regimes determined by unobservable variables, concretely Markov-switching models. We have derived 2nd central moment of the MSW models for two cases-state-independent and state-dependent model
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/f27e875f64537f10e61e7a32cbe353519dad09aa
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In Finance
- Yoosoon Chang
- Joon Y. Park
- Yongok Choi
- Giuseppe Cavaliere
- Alan M. Taylor
- Martin Wagner
- Michael Jansson
- Niels Haldrup
In Statistics and Probability
- Yoosoon Chang
- Joon Y. Park
- Joel L. Horowitz
- Giuseppe Cavaliere
- Dimitris Nicolas Politis
- Alan M. Taylor
- Michael Jansson
- Martin Wagner
Citations in the corpus
- Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model (2015, unknown): “First, we consider the likelihood ratio tests of Vuong (1989), Rivers and Vuong (2002),”
- A new approach to model regime switching (2017, background): “Moreover, various statistical properties of the model have been studied by Hansen (1992), Hamilton (1996), Garcia (1998), Timmermann (2000), and Cho and White (2007), among others.”