Title
Extended Switching Regression Models: Theory and Applications,Used
Sold by Ergodebooks, an authorized reseller.
Returns accepted within 30 days | support@ergodebooks.com
Shipping Information
- Free Standard Shipping — United States only
- Processing Time: 1–3 business days
- Estimated Delivery: 3–5 business days after dispatch
- Double-boxed, fully insured & discreetly packaged
- Tracking number sent via email once dispatched
- Orders over $250 require signature upon delivery. Taxes calculated at checkout.
Returns & Refund
Returns accepted within 30 days of delivery.
Damaged or Defective Item
Free return shipping + replacement or full refund
Wrong Item Received
Free return shipping + replacement or full refund
Change of Mind
Return shipping at customer's expense · 25% restocking fee applies
Payment Option
Product DescriptionSwitching regression models are models that allow parameters of the conditional distribution, such as the mean and variance, to vary according to a finitevalued stochastic process with states or regimes. The regime changes aim at capturing changes in the underlying financial and economic mechanism through the observed time series. These models have proven very useful in modeling economic and financial time series. In this book, we generalized this modeling approach. We consider models that allow occasional, recurrent and independent switches in disjoint subsets of the parameters of the conditional distribution. These are determined by the realization of several latent state variables. The state variable probabilities can be constant or change over time. We call these extended switching regression models. We develop an EM algorithm for estimation, give conditions for consistency and asymptotic normality and apply our models to combine conditional volatility forecasts of several exchange rates. We also consider the penalized likelihood method for selecting the correct latent structure of these models.About the AuthorDr. Arie Preminger is member of CORE Center for Operations Research and Econometrics. His work is mainly concerned with time series analysis, financial econometrics and quantitative finance.
⚠️ WARNING (California Proposition 65):
This product may contain chemicals known to the State of California to cause cancer, birth defects, or other reproductive harm.
For more information, please visit www.P65Warnings.ca.gov.