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A Markov regime-switching model for the semiconductor industry cycles

✍ Scribed by Wen-Hsien Liu; Yih-Luan Chyi

Book ID
116423664
Publisher
Elsevier Science
Year
2006
Tongue
English
Weight
301 KB
Volume
23
Category
Article
ISSN
0264-9993

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## Abstract The random coefficient autoregressive Markov regime switching model (RCARRS) for estimating optimal hedge ratios, which generalizes the random coefficient autoregressive (RCAR) and Markov regime switching (MRS) models, is introduced. RCARRS, RCAR, MRS, BEKK‐GARCH, CC‐GARCH, and OLS are