Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/259860 
Autor:innen: 
Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
Working Paper No. 2002:5
Verlag: 
Lund University, School of Economics and Management, Department of Economics, Lund
Zusammenfassung: 
This paper examines the forecasting properties of a Markov regime-switching model applied to Swedish interest rate volatility. A Monte Carlo testing procedure is used to arrive at a three state specification that is able to capture the high degree of leptokurtosis in the data without additional modelling of conditional heteroskedasticity. The final specification is shown to possess good forecasting properties both in general and for specific samples and horizons, something that the benchmark processes are unable to achieve.
Schlagwörter: 
Regime switching
forecasting
volatility
JEL: 
C22
C52
E43
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
264.31 kB





Publikationen in EconStor sind urheberrechtlich geschützt.