Identificación de segmentos de precios en el mercado de fondos overnigth usando modelos ocultos de Markov
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Volume (Year): XXXI (2008)
Issue (Month): 3 (julio-septiembre)
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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kim, Chang-Jin, 1993.
"Unobserved-Component Time Series Models with Markov-Switching Heteroscedasticity: Changes in Regime and the Link between Inflation Rates and Inflation Uncertainty,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 11(3), pages 341-49, July.
- Kim, C.J., 1992. "Unobserved-Component Time-Series Models with Markov- Switching Heteroskedasticity: Changes in Regimes and the Link between Inflation Rates and Inflation Uncertainty," Papers 92-1, York (Canada) - Department of Economics.
- Perron, P. & Rodriguez, G., 2000.
"Seraching for Additive Outliers in Nonstationary Time Series,"
0005e, University of Ottawa, Department of Economics.
- Pierre Perron & Gabriel RodrÌguez, 2003. "Searching For Additive Outliers In Nonstationary Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 193-220, 03.
- Gabriel Rodríguez, 2004. "An empirical note about additive outliers and nonstationarity in Latin-American inflation series," Empirical Economics, Springer, vol. 29(2), pages 361-372, 05.
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, June.
- Paúl Castillo & Alberto Humala & Vicente Tuesta, 2012. "Regime shifts and inflation uncertainty in Peru," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 71-87, May.
- Paul Castillo & Alberto Humala & Vicente Tuesta, 2007. "Monetary Policy, Regime Shifts, and Inflation Uncertainty in Peru (1949-2006)," Working Papers 2007-005, Banco Central de Reserva del Perú.
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