Henneke, Jan; Rachev, Svetlozar; Fabozzi, Frank; … - In: Applied Economics 43 (2011) 3, pp. 259-271
Regime switching models, especially Markov Switching (MS) models, are regarded as a promising way to capture nonlinearities in time series. Combining the elements of MS models with full Autoregressive Moving Average-Generalized Autoregressive Conditional Heteroskedasticity (ARMA-GARCH) models...