Forecasting Markov-switching dynamic, conditionally heteroscedastic processes

DOI10.1016/J.SPL.2004.02.004MaRDI QIDQ1770072zbMATH OpenOpenAlexWikidataFDO

Authors 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

ARCHARFIMAMarkov-switchingpoint predictionsstandard errors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Recommendations

• Markovian Forecast Processes
• Forecasting with non-homogeneous hidden Markov models
• Forecasting with non-homogeneous hidden Markov models
• Markov Switching for Position Dependent Random Maps with Application to Forecasting
• Nonstationarities and Markov switching models
• scientific article; zbMATH DE number 1751996
• Dynamic linear models with Markov-switching

Cites work

• A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Autoregressive conditional heteroskedasticity and changes in regime
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Long memory processes and fractional integration in econometrics

Cited in

(9)

• Conditional forecasts on SVAR models using the Kalman filter
• Combining a regression model with a multivariate Markov chain in a forecasting problem
• A regime switching long memory model for electricity prices
• What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study
• Adaptive prediction for ARMA processes with Markov switching parameters
• Comments on ‘A multi-model adaptive predictor for stochastic processes with Markov switching parameters’
• scientific article; zbMATH DE number 1751996 (Why is no real title available?)
• Markovian Forecast Processes
• Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices

Describes a project that uses

Uses Software

• Ox

This page was built for publication: Forecasting Markov-switching dynamic, conditionally heteroscedastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1770072)