Listar Artículos y otros documentos de investigación por autor "Sola, Martin"
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Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities
Sola, Martin; Psaradakis, Zacharias (2017)This paper proposes a model which allows for discrete stochastic breaks in the timevarying transition probabilities of Markov-switching models with autoregressive dynamics. An extensive simulation study is undertaken to ...