An Introduction to Regime Switching Time Series Models
DOI10.1007/978-3-540-71297-8_38zbMATH Open1178.91161OpenAlexW2231556222MaRDI QIDQ3646985FDOQ3646985
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
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- 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
- Time-varying transition probabilities for Markov regime switching models
- Quasi-likelihood estimation in volatility models for semi-continuous time series
- Specification testing in Markov-switching time-series models
- A new approach to model regime switching
- 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
- Regime switching models for circular and linear time series
- A transitional Markov switching autoregressive model
- Time-series model with periodic stochastic regime switching
- Title not available (Why is that?)
- Markov switching models for time series data with dramatic jumps
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