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A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models

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  • Chan, Wai-Sum
  • Chan, Yin-Ting

Abstract

In this paper the effects of temporal aggregation on a class of Markov switching models known as MSG models, are investigated. Mathematical formulae are derived for the first and second moments of an aggregated MSG model.

Suggested Citation

  • Chan, Wai-Sum & Chan, Yin-Ting, 2008. "A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 728-735, April.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:6:p:728-735
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    Cited by:

    1. Chan, Wai-Sum, 2022. "On temporal aggregation of some nonlinear time-series models," Econometrics and Statistics, Elsevier, vol. 21(C), pages 38-49.
    2. Wai‐Sum Chan & Li‐Xin Zhang & Siu Hung Cheung, 2009. "Temporal aggregation of Markov‐switching financial return models," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 359-383, May.

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