Pages that link to "Item:Q1341198"
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The following pages link to Autoregressive conditional heteroskedasticity and changes in regime (Q1341198):
Displayed 36 items.
- Explicit solutions to European options in a regime-switching economy (Q813961) (← links)
- Pricing exotic options under a high-order Markovian regime switching model (Q933877) (← links)
- Evaluating volatility forecasts in option pricing in the context of a simulated options market (Q957226) (← links)
- Pricing exotic options under regime switching (Q995503) (← links)
- Factor stochastic volatility with time varying loadings and Markov switching regimes (Q997296) (← links)
- Distribution switching in financial time series (Q1005213) (← links)
- Modelling extremes of time-dependent data by Markov-switching structures (Q1011533) (← links)
- Simulation-based sequential analysis of Markov switching stochastic volatility models (Q1020116) (← links)
- Tracking and identification of regime-switching systems using binary sensors (Q1023359) (← links)
- Volatility spillovers, interdependence and comovements: a Markov switching approach (Q1023631) (← links)
- Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference (Q1023632) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- On a threshold autoregression with conditional heteroscedastic variances (Q1368891) (← links)
- Testing for parameter changes in ARCH models (Q1568067) (← links)
- Modeling long memory in stock market volatility (Q1588307) (← links)
- Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns (Q1604080) (← links)
- Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models (Q1767484) (← links)
- Forecasting Markov-switching dynamic, conditionally heteroscedastic processes (Q1770072) (← links)
- Misspecified structural change, threshold, and Markov-switching models. (Q1858953) (← links)
- Regime switching in foreign exchange rates: Evidence from currency option prices (Q1969822) (← links)
- Moments of Markov switching models (Q1973430) (← links)
- Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process (Q2467375) (← links)
- The \(L^2\)-structures of standard and switching-regime GARCH models (Q2567232) (← links)
- Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques* (Q3156190) (← links)
- Discrete-time Markov chains with two-time scales and a countable state space: limit results and queueing applications (Q3518569) (← links)
- An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models (Q3532764) (← links)
- Realized Volatility: A Review (Q3539862) (← links)
- Portfolio Selection with Common Correlation Mixture Models (Q3606095) (← links)
- Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions (Q3632874) (← links)
- Empirical Performance and Asset Pricing in Hidden Markov Models (Q4434427) (← links)
- Bayesian Risk Management for Equity-Linked Insurance (Q4455895) (← links)
- Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications (Q4781081) (← links)
- OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING (Q5487827) (← links)
- Non‐linear GARCH models for highly persistent volatility (Q5703229) (← links)
- A Regime-Switching Model of Long-Term Stock Returns (Q5718204) (← links)
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities (Q5939175) (← links)