References
- [1] FRANSES, P. H.-VAN DIJK, F.: Non-Linear Time Series Models in Empirical Finance. Cambridge University Press, Cambridge, 2000.
- [2] HAMILTON, J. D.: A new approach to the economic analysis of nonstationary time series subject to change in regime, Econometrica 57 (1989), 357-384.
- [3] HAMILTON, J. D.: Time Series Analysis. Princeton Univ. Press, Princeton, 1994.
- [4] TIMMERMANN, J. D.: Moments of Markov switching models, J. Econometrics 96 (1999), 75-111.
- [5] TONG, H.: Non-Linear Time Series: A Dynamical Systems Approach. Oxford University Press, Oxford, 1990
DOI: https://doi.org/10.2478/tmmp-2014-0032 | Journal eISSN: 1338-9750 (formerly 1210-3195) | Journal ISSN: 1210-3195
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
Related subjects:
© 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.