Time-Varying Transition Probabilities for Markov Regime Switching Models
Author:
Affiliation:
1. University of Padova; Italy
2. Vrije Universiteit Amsterdam and Tinbergen Institute; The Netherlands
3. CREATES; Aarhus University; Denmark
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12211/fullpdf
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