Adding flexibility to Markov Switching models
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Publication:5142162
DOI10.1177/1471082X16672025OpenAlexW3125547101MaRDI QIDQ5142162FDOQ5142162
Authors: Edoardo Otranto 
Publication date: 30 December 2020
Published in: Statistical Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1177/1471082x16672025
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Cites Work
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- Autoregressive conditional heteroskedasticity and changes in regime
- An Introduction to Univariate GARCH Models
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Estimation and comparison of multiple change-point models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
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- Specification, estimation, and evaluation of smooth transition autoregressive models
- Model-free prediction and regression. A transformation-based approach to inference
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- Analysis of time series subject to changes in regime
- Dynamic linear models with Markov-switching
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- Regime switching for dynamic correlations
- Asset allocation using flexible dynamic correlation models with regime switching
- Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
- Modeling conditional correlations of asset returns: a smooth transition approach
- A time varying hidden Markov model with latent information
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