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Modeling Financial Time Series Volatility with Markov Switching Models

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  • Monika Kosko
  • Michal Pietrzak

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  • Monika Kosko & Michal Pietrzak, 2008. "Modeling Financial Time Series Volatility with Markov Switching Models," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 155-162.
    • Handle: RePEc:cpn:umkdem:v:8:y:2008:p:155-162
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    File URL: http://www.dem.umk.pl/dem/archiwa/v8/19_Kosko_Pietrzak.pdf
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    References listed on IDEAS

    as
    1. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
    2. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
    3. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    4. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
    5. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
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