Markov-switching quantile autoregression: a Gibbs sampling approach (Q2691752)

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Markov-switching quantile autoregression: a Gibbs sampling approach
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    Markov-switching quantile autoregression: a Gibbs sampling approach (English)
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    30 March 2023
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    asymmetric Laplace distribution
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    Gibbs sampler
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    non-crossing quantiles
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    quantile regression
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    regime changes
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