An Introduction to Regime Switching Time Series Models

DOI10.1007/978-3-540-71297-8_38MaRDI QIDQ3646985zbMATH OpenOpenAlexFDO

Authors Theis Lange, Anders Rahbek

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_38

zbMATH Keywords

ARCHCVAR: GARCHhypothesis testinglikelihood-based estimationMarkov switchingobservation switching

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cited in

(29)

• A note on testing regime switching assumption based on recurrence times
• Recovering Markov models from closed-loop data
• Specification testing in Markov-switching time-series models
• Moments of Markov switching models
• Testing for observation-dependent regime switching in mixture autoregressive models
• Non-standard limits for a family of autoregressive stochastic sequences
• Time-series model with periodic stochastic regime switching. I: Theory
• Time-series model with periodic stochastic regime switching
• A transitional Markov switching autoregressive model
• Testing for intercept-scale switch in linear autoregression
• Markov switching models for time series data with dramatic jumps
• scientific article; zbMATH DE number 2129955 (Why is no real title available?)
• Clustering financial time series: new insights from an extended hidden Markov model
• Markov switching models in empirical finance
• A new approach to model regime switching
• A transformation approach to modelling multi-modal diffusions
• STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
• Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility
• State heterogeneity analysis of financial volatility using high-frequency financial data
• Moments of Markov-switching models
• Time-varying transition probabilities for Markov regime switching models
• Applications of regime-switching models based on aggregation operators
• Modelling exchange rates using regime switching models
• Regime switching models for circular and linear time series
• Guest Editors’ Introduction: Regime Switching and Threshold Models
• Quasi-likelihood estimation in volatility models for semi-continuous time series
• Optimal investment-consumption under recursive utility in regime-switching markets with transaction cost
• Analysis of time series subject to changes in regime
• Random recurrence equations and ruin in a Markov-dependent stochastic economic environment

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