Extended switching regression models with time-varying probabilities for combining forecasts
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- Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
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KeywordsForecast combining; TV-ESR models; volatility modelling;
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