Search results with tag "Regime switching models"
Econometric Modelling of Markov-Switching Vector ...
fmwww.bc.edu7 Markov-switching vector autoregressions 7.1 Types of regime-switching models Reduced form vector autoregressive (VAR) models have been become the dominant research strategy in empirical macroeconomics since Sims (1980) and implemented in programs …
Introductory Econometrics for Finance
catdir.loc.gov9.12 Threshold models and the dynamics of the FTSE 100 stock index and stock index futures market 567 9.13 A note on regime switching models and forecasting accuracy 571 9.14 Estimating threshold autoregressive models in RATS 571 10 Simulationmethods 577 10.1 Motivations 577 10.2 Monte Carlo simulations 578 10.3 Variance reduction techniques 580
Regime-Switching Models
econweb.ucsd.eduRegime-Switching Models May 18, 2005 James D. Hamilton Department of Economics, 0508 University of California, San Diego La Jolla, CA 92093-0508 jhamilton@ucsd.edu