Forecasting Markov-switching dynamic, conditionally heteroscedastic processes

被引：8
|
作者：
Davidson, J [1 ]
机构：
[1] Cardiff Univ, Cardiff Business Sch, Cardiff CF1 3EU, S Glam, Wales
来源：
STATISTICS & PROBABILITY LETTERS | 2004年 / 68卷 / 02期
关键词：
forecasts; Markov-switching; ARFIMA; ARCH;
D O I：
10.1016/j.spl.2004.02.004
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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. (C) 2004 Published by Elsevier B.V.
引用
收藏
页码：137 / 147
页数：11
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