Billio, Monica; Anas, Jacques; Ferrara, Laurent; Duca, … - Dipartimento di Economia, Università Ca' Foscari Venezia - 2007
The class of Markov switching models can be extended in two main directions in a multivariate framework. In the first approach, the switching dynamics are introduced by way of a common latent factor. In the second approach a VAR model with parameters depending on one common Markov chain is...