search query: @journal_id 1341 / total: 156
reference: 17 / 156
| Author: | Timmermann, A. |
| Title: | Moments of Markov switching models |
| Journal: | Journal of Econometrics
2000 : MAY, VOL. 96:1, p. 75-111 |
| Index terms: | Volatility Models |
| Freeterms: | Markov switching |
| Language: | eng |
| Abstract: | This paper derives the moments for a range of Markov switching models. Characterized in detail are the patterns of volatility, skewness and kurtosis that these models can produce as a function of the transition probabilities and parameters of the underlying state densities entering the switching process. |
SCIMA