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Markov Regime-Switching in-Mean Model with Tempered Stable Distribution

Shi, YL; Feng, LB; Fu, T

Fu, T (corresponding author), Jiangxi Univ Finance & Econ, Inst Ind Econ, Ctr Regulat & Competit, Nanchang, Jiangxi, Peoples R China.

COMPUTATIONAL ECONOMICS, 2020; 55 (4): 1275

Abstract

Markov Regime-Switching (MRS) model is a widely used approach to model the actuarial and financial data with potential structural breaks. In the origi......

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