Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions
نویسندگان
چکیده
منابع مشابه
Regime Switching Vector Autoregressions: a Bayesian Markov Chain Monte Carl0 Approach
Many financial time series processes appear subject to periodic structural changes in their dynamics. Regression relationships are often not robust to outliers nor stable over time, whilst the existence of changes in variance over time is well documented. This paper considers a vector autoregression subject to pseudocyclical structural changes. The parameters of a vector autoregression are mode...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 1999
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.29.1.504606