Modelling the growth rate of economic time series with a Markov switching process in their mean and/or their variance allows to take account of two facts that are often encountered in such series, namely that the periods in which each mean is prevailing differ in their duration and that the...

This paper estimates a switching autoregressive conditional heteroskedastic time series model for returns on the daily German stock market index. Volatility clustering is captured by persistent periods of different volatility levels and by the dependence on past innovations. We introduce a...

Modelling the growth rate of economic time series with a Markov switching process in their mean and/or their variance allows to take account of two facts that are often encountered in such series, namely that the periods in which each mean is prevailing differ in their duration and that the...

This paper estimates a switching autoregressive conditional heteroskedastic time series model for returns on the daily German stock market index. Volatility clustering is captured by persistent periods of different volatility levels and by the dependence on past innovations. We introduce a...

Modelling the growth rate of economic time series with a Markov switching process in their mean and/or their variance allows to take account of two facts that are often encountered in such series, namely that the periods in which each mean is prevailing differ in their duration and that the...