Pages that link to "Item:Q1973430"
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The following pages link to Moments of Markov switching models (Q1973430):
Displayed 22 items.
- Efficiently pricing barrier options in a Markov-switching framework (Q708288) (← links)
- Random coefficient mixture (RCM) GARCH models (Q815363) (← links)
- Temporal aggregation of equity return time-series models (Q929677) (← links)
- The autocorrelation structure of the Markov-switching asymmetric power GARCH process (Q945788) (← links)
- Recent developments in volatility modeling and applications (Q955468) (← links)
- Regime switching volatility calibration by the Baum-Welch method (Q989132) (← links)
- Asset allocation under multivariate regime switching (Q1027430) (← links)
- Value-at-risk via mixture distributions reconsidered (Q1039677) (← links)
- Misspecified structural change, threshold, and Markov-switching models. (Q1858953) (← links)
- Sequential monitoring of minimum variance portfolio (Q2461273) (← links)
- A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models (Q2483447) (← links)
- On the forecasting ability of ARFIMA models when infrequent breaks occur (Q3023032) (← links)
- Temporal aggregation of Markov-switching financial return models (Q3077477) (← links)
- EWMA Control Charts for Monitoring Optimal Portfolio Weights (Q3445887) (← links)
- Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models (Q3521273) (← links)
- Portfolio Selection with Common Correlation Mixture Models (Q3606095) (← links)
- On Joint Determination of the Number of States and the Number of Variables in Markov-Switching Models: A Monte Carlo Study (Q3652720) (← links)
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (Q4817926) (← links)
- Financial contagion, spillovers and causality in the Markov switching framework (Q5697343) (← links)
- A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK (Q5714645) (← links)
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities (Q5939175) (← links)
- Long memory and regime switching (Q5952029) (← links)