Pages that link to "Item:Q4203680"
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The following pages link to A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (Q4203680):
Displaying 50 items.
- Estimation of Markov regime-switching regression models with endogenous switching (Q72021) (← links)
- Testing structural breaks versus long memory with the Box-Pierce statistics: a Monte Carlo study (Q257526) (← links)
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach (Q262012) (← links)
- Renewal regime switching and stable limit laws (Q265118) (← links)
- On the price of risk of the underlying Markov chain in a regime-switching exponential Lévy model (Q267876) (← links)
- A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors (Q274912) (← links)
- Markov-switching model selection using Kullback-Leibler divergence (Q278195) (← links)
- Time reversibility of stationary regular finite-state Markov chains (Q278256) (← links)
- A unified approach to nonlinearity, structural change, and outliers (Q278493) (← links)
- On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks (Q280238) (← links)
- Striated Metropolis-Hastings sampler for high-dimensional models (Q281050) (← links)
- Markov regime-switching quantile regression models and financial contagion detection (Q282262) (← links)
- A stochastic semidefinite programming approach for bounds on option pricing under regime switching (Q285991) (← links)
- Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model (Q286453) (← links)
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (Q289183) (← links)
- A class of stochastic unit-root bilinear processes: mixing properties and unit-root test (Q290958) (← links)
- The missing link: using the NBER recession indicator to construct coincident and leading indices of economic activity (Q291644) (← links)
- Large shocks vs. small shocks. (Or does size matter? May be so.) (Q291855) (← links)
- A regime switching long memory model for electricity prices (Q291856) (← links)
- Volatility comovement: a multifrequency approach (Q292013) (← links)
- What does the yield curve tell us about GDP growth? (Q292029) (← links)
- Regime switching for dynamic correlations (Q292034) (← links)
- Multivariate Jacobi process with application to smooth transitions (Q292036) (← links)
- Variational Bayes for regime-switching log-normal models (Q296292) (← links)
- Portfolio optimization in a regime-switching market with derivatives (Q297212) (← links)
- Impulse control of pension fund contributions, in a regime switching economy (Q297413) (← links)
- Trend/cycle decomposition of regime-switching processes (Q299214) (← links)
- Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984? (Q299215) (← links)
- Methods for inference in large multiple-equation Markov-switching models (Q299218) (← links)
- Saddlepoint approximations to option price in a regime-switching model (Q300691) (← links)
- Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure (Q301958) (← links)
- Cyclical dynamics of industrial production and employment: Markov chain-based estimates and tests (Q310998) (← links)
- The information content of capacity utilization for detrending total factor productivity (Q318374) (← links)
- Clustering financial time series: new insights from an extended hidden Markov model (Q319224) (← links)
- Bunkering decisions for a shipping liner in an uncertain environment with service contract (Q319459) (← links)
- Dynamic allocations for currency futures under switching regimes signals (Q323115) (← links)
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669) (← links)
- A new approach to model regime switching (Q341901) (← links)
- A self-exciting threshold jump-diffusion model for option valuation (Q343990) (← links)
- Option-based risk management of a bond portfolio under regime switching interest rates (Q354661) (← links)
- A new exact solution for pricing European options in a two-state regime-switching economy (Q356242) (← links)
- Maximum principle for optimal control problems of forward-backward regime-switching system and applications (Q360666) (← links)
- Regime-switching recurrent reinforcement learning for investment decision making (Q373176) (← links)
- Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls (Q382911) (← links)
- Dynamic programming for a Markov-switching jump-diffusion (Q396027) (← links)
- Regime switching in stochastic models of commodity prices: an application to an optimal tree harvesting problem (Q413322) (← links)
- Regime switching state-space models applied to psychological processes: handling missing data and making inferences (Q418428) (← links)
- Minimal state variable solutions to Markov-switching rational expectations models (Q428000) (← links)
- Two-state volatility transition pricing and hedging of TXO options (Q429529) (← links)
- Spectral and graph-theoretic bounds on steady-state-probability estimation performance for an ergodic Markov chain (Q430187) (← links)
