most citedVolatility jumps and the classification of monetary policy announcements

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stat.AP2023

On the Relationship between Markov Switching Models and Fuzzy Clustering: a Nonparametric Method to Detect the Number of States

Edoardo Otranto, Luca Scaffidi Domianello

Markov Switching models have had increasing success in time series analysis due to their ability to capture the existence of unobserved discrete states in the dynamics of the varia…