Related Books

Duration Dependent Markov-Switching Vector Autoregression
Language: en
Pages: 0
Authors: Matteo M. Pelagatti
Categories:
Type: BOOK - Published: 2013 - Publisher:

DOWNLOAD EBOOK

Duration dependent Markov-switching VAR (DDMS-VAR) models are time series models with data generating process consisting in a mixture of two VAR processes. The
Markov-Switching Vector Autoregressions
Language: en
Pages: 369
Authors: Hans-Martin Krolzig
Categories: Business & Economics
Type: BOOK - Published: 2013-06-29 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have
Regime-dependent Impulse Response Functions in a Markov-switching Vector Autoregression Model
Language: en
Pages: 24
Authors: Michael Ehrmann
Categories: Autoregression (Statistics)
Type: BOOK - Published: 2001 - Publisher:

DOWNLOAD EBOOK

Tiivistelmä: Tilasidonnaiset impulssivasteet markovilaisessa kahden regiimin autoregressiomallissa.
Predicting Markov-switching Vector Autoregressive Processes
Language: en
Pages: 30
Authors: Hans-Martin Krolzig
Categories: Markov processes
Type: BOOK - Published: 2000 - Publisher:

DOWNLOAD EBOOK

Applying Flexible Parameter Restrictions in Markov-switching Vector Autoregression Models
Language: en
Pages: