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The spectral representation of Markov switching ARMA models
Pataracchia, Beatrice - In: Economics letters 112 (2011) 1, pp. 11-15
Persistent link: https://www.econbiz.de/10009242191
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Specific Markov-switching behaviour for ARMA parameters
Carpantier, Jean-François; Dufays, Arnaud - 2014
Persistent link: https://www.econbiz.de/10010385182
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Spectral density of Markov-switching VARMA models
Cavicchioli, Maddalena - In: Economics letters 121 (2013) 2, pp. 218-220
Persistent link: https://www.econbiz.de/10010346322
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Can we distinguish regime switching from long memory? : a simulation evidence
Shi, Yanlin - In: Applied economics letters 22 (2015) 4/6, pp. 318-323
Persistent link: https://www.econbiz.de/10010506750
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Autoregressive moving average infinite hidden Markov-switching models
Bauwens, Luc; Carpantier, Jean-François; Dufays, Arnaud - 2015
Persistent link: https://www.econbiz.de/10010484019
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On Markov-switching ARMA processes : stationarity, existence of moments, and geometric ergodicity
Stelzer, Robert - In: Econometric theory 25 (2009) 1, pp. 43-62
Persistent link: https://www.econbiz.de/10003816215
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State correlation and forecasting : a Bayesian approach using unobserved components models
Uzeda, Luis - 2016
Persistent link: https://www.econbiz.de/10011499847
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Bayesian inference in regime-switching ARMA models with aborbing states : the dynamics of the ex-antre real interest rate under regime shifts
Kim, Chang-jin; Kim, Jaeho - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 4, pp. 566-578
Persistent link: https://www.econbiz.de/10011403240
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Regime switching for dynamic correlations
Pelletier, Denis - In: Journal of econometrics 131 (2006) 1/2, pp. 445-473
Persistent link: https://www.econbiz.de/10003298605
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Linear-representations based estimation of switching-regime GARCH models
Francq, Christian; Zakoïan, Jean-Michel - 1999
Persistent link: https://www.econbiz.de/10001430409