Markov switching models for time series data with dramatic jumps

zbMATH Open1268.62121MaRDI QIDQ2912593FDOQ2912593

Authors: Masoud Yarmohammadi, Hamdreza Mostafaei, Maryam Safaei 

Publication date: 14 September 2012

Published in: Sains Malaysiana (Search for Journal in Brave)

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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)

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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