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Publikováno v:
SSRN Electronic Journal.
We develop and test a discretization method to calibrate a Markov chain that features non-zero skewness and high kurtosis.The proposed method applies the logic of Tauchen (1986) to a first-order autoregressive process with normal mixture innovations,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e592e3f7a6a54ca4d500232488a46049
https://doi.org/10.2139/ssrn.2636485
https://doi.org/10.2139/ssrn.2636485
