Moments of Markov switching models

Timmermann, Allan (1999) Moments of Markov switching models. Financial Markets Group Discussion Papers (323). Financial Markets Group, The London School of Economics and Political Science, London, UK.

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Abstract

This paper derives the moments for a range of Markov switching models. We characterize in detail the patterns of volatility, skewness and kurtosis that these models can produce as a function of the transition probabilities and parameters of the underlying state densities entering the switching process. The autocovariance of the level and squares of time series generated by Markov switching processes is also derived and we use these results to shed light on the relationship between volatility clustering, regime switches and structural breaks in time series models.

Item Type:	Monograph (Discussion Paper)
Official URL:	https://www.fmg.ac.uk/
Additional Information:	© 1999 The Author
Divisions:	Financial Markets Group
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences > HG Finance
JEL classification:	C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C10 - General
Date Deposited:	04 Jul 2023 13:45
Last Modified:	11 Dec 2024 19:47
URI:	http://eprints.lse.ac.uk/id/eprint/119124

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