An N-state endogenous Markov-switching model with applications in macroeconomics and finance
Year of publication: |
2021
|
---|---|
Authors: | Hwu, Shih-Tang ; Kim, Chang-jin ; Piger, Jeremy Max |
Published in: |
Macroeconomic dynamics. - Cambridge : Cambridge Univ. Press, ISSN 1469-8056, ZDB-ID 1501533-6. - Vol. 25.2021, 8, p. 1937-1965
|
Subject: | Business Cycle Asymmetry | Equity Premium | Nonlinear Models | Regime Switching | Volatility Feedback | Konjunktur | Business cycle | Markov-Kette | Markov chain | Volatilität | Volatility | Theorie | Theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Risikoprämie | Risk premium | Makroökonomik | Macroeconomics | Nichtlineare Regression | Nonlinear regression |
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