Tatra Mountains Mathematical Publications
Special Issue Title: Applied Mathematics ‘14
About this article
Published Online: Mar 11, 2015
Page range: 131 - 140
Received: Oct 24, 2012
DOI: https://doi.org/10.2478/tmmp-2014-0032
Keywords
© 2015
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.
In this paper we have focused on the class of regime-switching time series models with regimes determined by unobservable variables, concretely Markov-switching models. We have derived 2nd central moment of the MSW models for two cases-state-independent and state-dependent model