Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
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DOI: 10.1016/j.econlet.2018.06.009
Abstract: Abstract The Markov-switching multifractal process, and recent extensions such as the factorial hidden Markov volatility model, correspond to tightly parametrized hidden Markov models characterized by a high-dimensional state space. Because the central component in these… read more here.
Keywords: characterized high; high dimensional; regime switching; state space ... See more keywords