Markov Switching Models in Empirical Finance

DOI10.1108/S0731-9053(2011)000027B004zbMath1444.91222OpenAlexW1529921754MaRDI QIDQ3295716

Massimo Guidolin

Publication date: 10 July 2020

Published in: Missing Data Methods: Time-Series Methods and Applications (Search for Journal in Brave)

Full work available at URL: http://www.igier.unibocconi.it/files/415.pdf

zbMATH Keywords

regime shiftsnonlinearitiesMarkov switchingpredictabilityautoregressive conditional heteroskedasticityregimes

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Actuarial science and mathematical finance (91G99)

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