Guidolin, Massimo; Timmerman, Allan - Federal Reserve Bank of St. Louis - 2006
, the Innovations in Financial Econometrics conference at NYU, European Econometric Society meetings
in Stockholm, European … Society inEvanston, Australasian Econometric Society meetings inMelbourne, University
of Houston, Rice, USC, Arizona State …
s
t+1|t
is the predicted state probability at time t+1 given information at time t. This simple model
thus implies that …