Markov switching models for time series data with dramatic jumps

MaRDI QIDQ2912593zbMATH OpenFDO

Authors Masoud Yarmohammadi, Hamdreza Mostafaei, Maryam Safaei

Publication date 14 September 2012

Published in Sains Malaysiana (Search for Journal in Brave)

zbMATH Keywords

Markov switching autoregressive modelsfluctuations of exchange ratenonlinear times series models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(5)

• Modelling exchange rates using regime switching models
• Modelling extremes of time-dependent data by Markov-switching structures
• Exchange rate forecasting with optimum singular spectrum analysis
• Hybrid versus highbred: combined economic models with time-series analyses
• A three-state Markov-modulated switching model for exchange rates

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