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I would be extremely grateful if you could point me to any good source on Regime switching, mainly:

  1. What we define as regime switch
  2. Different kinds of regimes (trend, high/low vol)
  3. Attempts at analysis and finding of regimes

Thanks a lot for your help.

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Is this something to do with the stock market or political leadership? – copper.hat May 31 '12 at 22:34
more of stock market :) – Bober02 Jun 1 '12 at 9:29

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