The multi-chain Markov switching model

Journal of Forecasting

Volumn 24, Issue 7, 2005, Pages 523-537

  Otranto, Edoardo ^a  

^a UNIVERSITY OF SASSARI   (Italy)

Author keywords

Multivariate time series; Regime switching; Transition probabilities

Indexed keywords

MARKOV PROCESSES; MATHEMATICAL MODELS; PROBABILITY DISTRIBUTIONS;

MULTIVARIATE TIME SERIES; REGIME SWITCHING; TRANSITION PROBABILITIES;

SWITCHING;

EID: 28444463351     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/for.965     Document Type: Review

References (23)

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