Forecasting Markov-switching dynamic, conditionally heteroscedastic processes

DSpace/Manakin Repository

Open Research Exeter (ORE)

Forecasting Markov-switching dynamic, conditionally heteroscedastic processes

Show simple item record

dc.contributor.author Davidson, James en_GB
dc.contributor.department Cardiff Business School (now at University of Exeter) en_GB
dc.date.accessioned 2008-06-02T09:37:37Z en_GB
dc.date.accessioned 2011-01-25T10:25:31Z en_US
dc.date.accessioned 2013-03-19T15:57:08Z
dc.date.issued 2004 en_GB
dc.description.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. en_GB
dc.identifier.citation Statistics and Probability Letters (2004) 68(2) 137-147 en_GB
dc.identifier.doi 10.1016/j.spl.2004.02.004 en_GB
dc.identifier.uri http://hdl.handle.net/10036/29296 en_GB
dc.language.iso en en_GB
dc.publisher Elsevier en_GB
dc.relation.url http://www.sciencedirect.com/science/journal/01677152 en_GB
dc.relation.url http://www.people.ex.ac.uk/jehd201/ en_GB
dc.subject Forecasts en_GB
dc.subject Markov-switching en_GB
dc.subject ARFIMA en_GB
dc.subject ARCH en_GB
dc.title Forecasting Markov-switching dynamic, conditionally heteroscedastic processes en_GB
dc.type Article en_GB
dc.date.available 2008-06-02T09:37:37Z en_GB
dc.date.available 2011-01-25T10:25:31Z en_US
dc.date.available 2013-03-19T15:57:08Z
dc.identifier.issn 01677152 en_GB
dc.identifier.journal Statistics & Probability Letters en_GB


Files in this item

Files Size Format View
davidson4.pdf 120.8Kb PDF Thumbnail

This item appears in the following Collection(s)

Show simple item record

Browse

My Account

Local Links