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| Tekijä: | Timmermann, A. |
| Otsikko: | Moments of Markov switching models |
| Lehti: | Journal of Econometrics
2000 : MAY, VOL. 96:1, p. 75-111 |
| Asiasana: | Volatility Models |
| Vapaa asiasana: | Markov switching |
| Kieli: | eng |
| Tiivistelmä: | 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