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Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields
This paper studies Markov-switching (MS) models with time-varying transition probabilities (TVTP) under alternative specifications of the transition probability matrix. We extend the two-regime common-variance setting of the Generalized Autoregressive Score (GAS) model of Bazzi et al. (2017) to the
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