✦ LIBER ✦

Analytical Derivatives for Markov Switching Models

✍ Scribed by JEFF GABLE; SIMON VAN NORDEN; ROBERT VIGFUSSON

Book ID: 110266039
Publisher: Springer US
Year: 1997
Tongue: English
Weight: 73 KB
Volume: 10
Category: Article
ISSN: 1572-9974
DOI: 10.1023/a:1008671903509

No coin nor oath required. For personal study only.

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## Abstract This paper investigates inference and volatility forecasting using a Markov switching heteroscedastic model with a fat‐tailed error distribution to analyze asymmetric effects on both the conditional mean and conditional volatility of financial time series. The motivation for extending t