A latent-factor-driven endogenous regime-switching non-Gaussian model: Evidence from simulation and application
(2020)
Journal Article
Bu, R., Cheng, J., & Jawadi, F. (2022). A latent-factor-driven endogenous regime-switching non-Gaussian model: Evidence from simulation and application. International Journal of Finance and Economics, 27(4), 3881-3896. https://doi.org/10.1002/ijfe.2192
Abstract Regime-switching models are widely used in empirical economics and finance research for their ability to identify and account for the impact of latent regimes or states on the behaviour of the interested variables. Meanwhile, empirical evide... Read More about A latent-factor-driven endogenous regime-switching non-Gaussian model: Evidence from simulation and application.