Guidolin, Massimo (contributor); … - 2005
z
t
!
=
Ã
μ
s
t
μ
zs
t
!
+
p
X
j=1
A
j,s
t
Ã
r
t−j
z
t−j
!
+
Ã
ε
t
ε
zt
!
. (1)
Here μ
s
t
and μ
zs
t
are intercept …
t
N
−1
N
X
n=1
⎧
⎪
⎨
⎪
⎩
h
(1−ω
0
t
ι
3
)exp
¡
Tr
f
¢
+ω
0
t
exp
³
P
T
i=1
(r
f
ι
3
+r
t+i,n
)
´i
1−γ
1−γ … regime switching model and approximate (12) as
N
−1
N
X
n=1
∙
n
(1−ω
0
b
ι
3
)exp
³
ϕr
f
´
+ω
0
b
exp(R
b+1,n
(s
b
)+ϕr
f
ι
3 …