Abstract
In this paper we have focused on the class of regime-switching time series models with regimes determined by unobservable variables, concretely Markov-switching models. We have derived 2nd central moment of the MSW models for two cases-state-independent and state-dependent model
Language: English
Page range: 131 - 140
Submitted on: Oct 24, 2012
Published on: Mar 11, 2015
Published by: Slovak Academy of Sciences, Mathematical Institute
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year
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© 2015 Anna Petričková, published by Slovak Academy of Sciences, Mathematical Institute
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.