| Article ID: | iaor19932067 |
| Country: | South Africa |
| Volume: | 26 |
| Start Page Number: | 95 |
| End Page Number: | 120 |
| Publication Date: | Mar 1992 |
| Journal: | South African Statistical Journal |
| Authors: | Murray Michael |
| Keywords: | stochastic processes |
A multi-process state space model that models the rate of return on stocks is developed. As such, the return generating process is assumed to be in one of four possible regimes, with a corresponding regime indicator probability value bieng updated recursively, as new data becomes available.