Forecasting Markov-switching dynamic, conditionally heteroscedastic processes

DOI10.1016/J.SPL.2004.02.004zbMath1096.62090OpenAlexW2107691814WikidataQ57941856 ScholiaQ57941856MaRDI QIDQ1770072

Xianqiang Yang

Publication date: 7 April 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10036/29296

zbMATH Keywords

ARCHARFIMAstandard errorsMarkov-switchingpoint predictions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Uses Software

• Ox

Cites Work

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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP

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