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Essentials of Time Series for Financial Applications

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  • About the authors
  • Chapters
    • Chapter 1: Linear Regression Model
    • Chapter 2: Autoregressive Moving Average (ARMA) Models and Their Practical Applications
    • Chapter 3: Vector Autoregressive Moving Average (VARMA) Models
      • Chapter 3 – Online Appendix
    • Chapter 4: Unit Roots and Cointegration
    • Chapter 5: Single-Factor Conditionally Heteroskedastic Models, ARCH and GARCH
      • Chapter 5 – Online Appendix
    • Chapter 6: Multivariate GARCH and Conditional Correlation Models
    • Chapter 7: Multifactor Heteroskedastic Models, Stochastic Volatility
    • Chapter 8: Models With Breaks, Recurrent Regime Switching, and Nonlinearities
    • Chapter 9: Markov Switching Models
      • Chapter 9 – Online Appendix
    • Chapter 10: Realized Volatility and Covariance
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Chapter 9 – Online Appendix

The supplementary material to Chapter 9 provides three additional examples and two notes, the first one on misspecification tests applied to MS models, the second on the risk-return trade-off.

Click on the link below to open the PDF version of the appendix.

Chapter 9 – Online Material

 

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