A Markov-switching regression model with non-Gaussian innovations : estimation and testing
Luca De Angelis and Cinzia Viroli
| Year of publication: |
Apr 2017
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| Authors: | De Angelis, Luca ; Viroli, Cinzia |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 21.2017, 2, p. 1-22
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| Subject: | market regimes | Markov-switching | normal inverse Gaussian distribution | return time series analysis | Zeitreihenanalyse | Time series analysis | Markov-Kette | Markov chain | Statistische Verteilung | Statistical distribution | Regressionsanalyse | Regression analysis | Kapitaleinkommen | Capital income | Schätzung | Estimation | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2015-0118 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011705723