An Introduction to Regime Switching Time Series Models

DOI10.1007/978-3-540-71297-8_38MaRDI QIDQ3646985zbMATH OpenOpenAlexFDO

Authors Theis Lange, Anders Rahbek

Publication date 27 November 2009

Published in Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-71297-8_38

zbMATH Keywords

hypothesis testingARCHMarkov switchinglikelihood-based estimationCVAR: GARCHobservation switching

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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Cited in

(26)

• Markov switching models for time series data with dramatic jumps
• Moments of Markov-switching models
• Modelling exchange rates using regime switching models
• Recovering Markov models from closed-loop data
• Non-standard limits for a family of autoregressive stochastic sequences
• Applications of regime-switching models based on aggregation operators
• Testing for observation-dependent regime switching in mixture autoregressive models
• A transformation approach to modelling multi-modal diffusions
• Clustering financial time series: new insights from an extended hidden Markov model
• STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
• Guest Editors’ Introduction: Regime Switching and Threshold Models
• Random recurrence equations and ruin in a Markov-dependent stochastic economic environment
• A new approach to model regime switching
• Specification testing in Markov-switching time-series models
• Time-varying transition probabilities for Markov regime switching models
• Quasi-likelihood estimation in volatility models for semi-continuous time series
• A note on testing regime switching assumption based on recurrence times
• Markov switching models in empirical finance
• Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility
• Testing for intercept-scale switch in linear autoregression
• Time-series model with periodic stochastic regime switching. I: Theory
• State heterogeneity analysis of financial volatility using high-frequency financial data
• A transitional Markov switching autoregressive model
• Regime switching models for circular and linear time series
• Time-series model with periodic stochastic regime switching
• scientific article; zbMATH DE number 2129955 (Why is no real title available?)

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