Regime switching for dynamic correlations

Journal of Econometrics

Volumn 131, Issue 1-2, 2006, Pages 445-473

  Pelletier, Denis ^a  

^a NORTH CAROLINA STATE UNIVERSITY   (United States)

Author keywords

ARMACH; Dynamic correlations; Markov chain; Regime switching

Indexed keywords

COMPUTER SIMULATION; MARKOV PROCESSES; MATHEMATICAL MODELS; MATRIX ALGEBRA;

ARMACH; CORRELATION MODEL; DYNAMIC CORRELATIONS; REGIME SWITCHING;

CORRELATION THEORY;

EID: 33644560366     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.01.013     Document Type: Conference Paper

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