A three-state Markov-modulated switching model for exchange rates
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Publication:670259
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Cites work
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A bootstrap-based minimum bias maximum simulated likelihood estimator of mixed logit
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bias-correction and endogenous lag order algorithm for bootstrap prediction intervals. Discussion on: ``Bootstrap prediction intervals for linear, nonlinear and nonparametric autoregressions
- Dynamic linear models with Markov-switching
- Geometric equivalence of groups.
Cited in
(6)- Development of a first order integrated moving average model corrupted with a Markov modulated convex combination of autoregressive moving average errors
- Regime switching model estimation: spectral clustering hidden Markov model
- An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market
- Analysis of exchange rates as time-inhomogeneous Markov chain with finite states
- scientific article; zbMATH DE number 7247634 (Why is no real title available?)
- Exchange rates and net portfolio flows: a Markov-switching approach
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