Forecasting Markov-switching dynamic, conditionally heteroscedastic processes

James Davidson ()

Statistics & Probability Letters, 2004, vol. 68, issue 2, 137-147

Abstract: Recursive formulae are derived for the multi-step point forecasts and forecast standard errors of Markov switching models with ARMA([infinity],q) dynamics (including the fractionally integrated case) and conditional heteroscedasticity in ARCH([infinity]) form. Hamilton's dynamic models of switching mean and variance are also treated, in a slightly modified version of the analysis.

Keywords: Forecasts; Markov-switching; ARFIMA; ARCH (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(04)00062-8
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:68:y:2004:i:2:p:137-147

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().