Markov-Switching Vector Autoregressions (English, Hans-Martin Krolzig)
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Book Details
Publisher
Springer
Language
English
ISBN-13
9783540630739
ISBN-10
3540630732
Author
Hans-Martin Krolzig
About the Book
This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco- nomic time series. This study is intended to provide a systematic and operational ap- proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switchin…
ISBN: 9783540630739
ISBN-13: 9783540630739
ISBN-10: 3540630732
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Hans-Martin Krolzig is the author of Markov-Switching Vector Autoregressions. Browse more books by Hans-Martin Krolzig on GlowMirror.
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Product ID: isbn-9783540630739
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