Forecasting Markov-switching dynamic, conditionally heteroscedastic processes (Q1770072): Difference between revisions

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+Long memory processes and fractional integration in econometrics
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+Fractionally integrated generalized autoregressive conditional heteroskedasticity
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+Q4865042
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+A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Q4840212
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@@ Property / cites work @@
+Autoregressive conditional heteroskedasticity and changes in regime
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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@@ Property / DOI @@
+.1016/J.SPL.2004.02.004
@@ Property / DOI: 10.1016/J.SPL.2004.02.004 / rank @@
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