Adding flexibility to Markov Switching models
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Publication:5142162
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Cites work
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 48318 (Why is no real title available?)
- scientific article; zbMATH DE number 3594513 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A time varying hidden Markov model with latent information
- An Introduction to Univariate GARCH Models
- Analysis of time series subject to changes in regime
- Asset allocation using flexible dynamic correlation models with regime switching
- Autoregressive conditional heteroskedasticity and changes in regime
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Dynamic linear models with Markov-switching
- Estimation and comparison of multiple change-point models
- Generalized autoregressive conditional heteroscedasticity
- Model-free prediction and regression. A transformation-based approach to inference
- Modeling conditional correlations of asset returns: a smooth transition approach
- Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
- Regime switching for dynamic correlations
- Specification, estimation, and evaluation of smooth transition autoregressive models
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