Charfeddine, Lanouar; Guegan, Dominique - HAL - 2008
rate. We shall retain retain a Markov switching process for the US GNP growth rate and the US/UK exchange rate (monthly … data). For the US/UK exchange rate (quarterly data), we accept the null hypothesis of a random walk. … and the delay parameter. Then, we apply this methodology to two time series: the US GNP growth rate and the US/UK exchange …