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01.2.1. ARMA Representation of Squared Markov Switching Heteroskedastic Models—Solution

Published online by Cambridge University Press:  01 April 2003

Walter Distaso
Walter Distaso
Affiliation:
University of York, UK
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Abstract

ARMA representation of squared Markov switching heteroskedastic models—solution.

Type
PROBLEMS AND SOLUTIONS
Information
Econometric Theory , Volume 19 , Issue 2 , April 2003 , pp. 412 - 413
Copyright
© 2003 Cambridge University Press

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References

REFERENCE

Hamilton, J.D. (1989) A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57, 2, 357–384.Google Scholar