14-072/III - Time Varying Transition Probabilities for Markov Regime Switching Models

• Authors
  Marco Bazzi, University of Padova, Italy; Francisco Blasques, VU University Amsterdam; Siem Jan Koopman, VU University Amsterdam; Andre Lucas, VU University Amsterdam, the Netherlands
• Publication date
  June 17, 2014

• Keywords
  Hidden Markov Models; observation driven models; generalized autoregressive score dynamics
• JEL
  C22, C32