Forecasting Markov-switching dynamic, conditionally heteroscedastic processes

DSpace/Manakin Repository

Open Research Exeter (ORE)

Forecasting Markov-switching dynamic, conditionally heteroscedastic processes

Please use this identifier to cite or link to this item: http://hdl.handle.net/10036/29296

Share:                 



Title: Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
Author: Davidson, James
Citation: Statistics and Probability Letters (2004) 68(2) 137-147
Publisher: Elsevier
Journal: Statistics & Probability Letters
Date Issued: 2004
URI: http://hdl.handle.net/10036/29296
DOI: 10.1016/j.spl.2004.02.004
Links: http://www.sciencedirect.com/science/journal/01677152 http://www.people.ex.ac.uk/jehd201/
Abstract: Recursive formulae are derived for the multi-step point forecasts and forecast standard errors of Markov switching models with ARMA(∞,q) dynamics (including the fractionally integrated case) and conditional heteroscedasticity in ARCH(∞) form. Hamilton's dynamic models of switching mean and variance are also treated, in a slightly modified version of the analysis.
Type: Article
Keywords: ForecastsMarkov-switchingARFIMAARCH
ISSN: 01677152


Please note: Before reusing this item please check the rights under which it has been made available. Some items are restricted to non-commercial use. Please cite the published version where applicable.

Files in this item

Files Size Format View
davidson4.pdf 120.8Kb PDF Thumbnail

This item appears in the following Collection(s)

Browse

My Account

Local Links