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Autoregressive moving average infinite hidden Markov-switching models

Luc Bauwens (), Jean-François Carpentier and Arnaud Dufays

No 2836, CORE Discussion Papers RP from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2017-01-01
Note: In : Journal of Business & Economic Statistics, 35(2), 162-182, 2017
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Journal Article: Autoregressive Moving Average Infinite Hidden Markov-Switching Models (2017) Downloads
Working Paper: Autoregressive Moving Average Infinite Hidden Markov-Switching Models (2017)
Working Paper: Autoregressive moving average infinite hidden markov-switching models (2015) Downloads
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