Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
نویسندگان
چکیده
منابع مشابه
Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
Recursive formulae are derived for the multi-step point forecasts and forecast standard errors of Markov switching models with ARMA(1; q) dynamics (including the fractionally integrated case) and conditional heteroscedasticity in ARCH(1) form. Hamiltons dynamic models of switching mean and variance are also treated, in a slightly modi ed version of the analysis. 1 Introduction Computing multi-...
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ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2004
ISSN: 0167-7152
DOI: 10.1016/j.spl.2004.02.004