MARKOV REGIME-SWITCHING MODELS
A regime-switching model is a time-series model in which parameters change values according to the regime at present time. While regime-switching models have been very popular in applied work, there is a lack of literature for simulation studies. New methods based on regime-switching models are ofte...
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| Language: | en |
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2012
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| Online Access: | http://hdl.handle.net/10222/15126 |