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14-072/III - Time Varying Transition Probabilities for Markov Regime Switching Models


  • Authors
    Marco Bazzi, University of Padova, Italy; Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam, the Netherlands
  • Publication date
    June 17, 2014
  • Keywords
    Hidden Markov Models; observation driven models; generalized autoregressive score dynamics
  • JEL
    C22, C32