✦ LIBER ✦

ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV-SWITCHING AUTOREGRESSIVE MODELS

✍ Scribed by Zacharias Psaradakis; Nicola Spagnolo

Book ID: 108549532
Publisher: John Wiley and Sons
Year: 2003
Tongue: English
Weight: 153 KB
Volume: 24
Category: Article
ISSN: 0143-9782
DOI: 10.1111/1467-9892.00305

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Finite-sample properties of the maximum

Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching

✍ Zacharias Psaradakis; Martin Sola 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 134 KB

A Comparison of the Forecast Performance

A Comparison of the Forecast Performance of Markov-switching and Threshold Autoregressive Models of US GNP

✍ Michael P. Clements; Hans-Martin Krolzig 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 462 KB

On determination of the order of an auto

On determination of the order of an autoregressive model

✍ Z.D. Bai; K. Subramanyam; L.C. Zhao 📂 Article 📅 1988 🏛 Elsevier Science 🌐 English ⚖ 427 KB

Evaluating volatility dynamics and the f

Evaluating volatility dynamics and the forecasting ability of Markov switching models

✍ George S. Parikakis; Anna Merika 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 86 KB 👁 1 views

## Abstract This paper uses Markov switching models to capture volatility dynamics in exchange rates and to evaluate their forecasting ability. We identify that increased volatilities in four euro‐based exchange rates are due to underlying structural changes. Also, we find that currencies are close

On the stationary law of a nonlinear aut

On the stationary law of a nonlinear autoregressive Markov chain

✍ Salama Jaouhari 📂 Article 📅 1994 🏛 Elsevier Science 🌐 English ⚖ 725 KB

The -structures of standard and switchin

The -structures of standard and switching-regime GARCH models

✍ Christian Francq; Jean-Michel Zakoı¨an 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 379 KB