Stationary and non-stationary simultaneous switching autoregressive models with an application to financial time series
Year of publication: |
1999
|
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Authors: | Kunitomo, Naoto ; Sato, Seisho |
Published in: |
The Japanese economic review : the journal of the Japanese Economic Association. - Richmond, Vic. : Wiley, ISSN 1352-4739, ZDB-ID 1335724-4. - Vol. 50.1999, 2, p. 161-190
|
Subject: | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Autokorrelation | Autocorrelation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Schätzung | Estimation | Börsenkurs | Share price | Japan | 1985-1994 |
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