Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
Year of publication: |
2018
|
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Authors: | Augustyniak, Maciej ; Dufays, Arnaud |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 170.2018, p. 122-126
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Subject: | Conditional mean model | Factorial hidden Markov model | Markov-switching | Multifractal | Markov-Kette | Markov chain | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Volatilität | Volatility |
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