What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study
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Publication:3368387
DOI10.2202/1558-3708.1171zbMath1082.62525OpenAlexW2236157805MaRDI QIDQ3368387
Marie Bessec, Othman Bouabdallah
Publication date: 27 January 2006
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1558-3708.1171
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)
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