Pages that link to "Item:Q1973430"
From MaRDI portal
The following pages link to Moments of Markov switching models (Q1973430):
Displaying 50 items.
- Term structure of risk under alternative econometric specifications (Q292020) (← links)
- Multivariate Jacobi process with application to smooth transitions (Q292036) (← links)
- A new approach to model regime switching (Q341901) (← links)
- The regime switching portfolios (Q538326) (← links)
- Log mean-variance portfolio selection under regime switching (Q538328) (← links)
- A long memory model with normal mixture GARCH (Q656952) (← links)
- Efficiently pricing barrier options in a Markov-switching framework (Q708288) (← links)
- Random coefficient mixture (RCM) GARCH models (Q815363) (← links)
- Efficient MCMC sampling in dynamic mixture models (Q892446) (← links)
- Methods for measuring expectations and uncertainty in Markov-switching models (Q894639) (← 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)
- Skewness and kurtosis of multivariate Markov-switching processes (Q1659107) (← links)
- Modeling and managing portfolios including listed private equity (Q1762037) (← links)
- Misspecified structural change, threshold, and Markov-switching models. (Q1858953) (← links)
- Goodness-of-fit tests for Markov Switching VAR models using spectral analysis (Q2123263) (← links)
- Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model (Q2170294) (← links)
- Local law and Tracy-Widom limit for sparse sample covariance matrices (Q2286459) (← links)
- Bad environments, good environments: a non-Gaussian asymmetric volatility model (Q2346031) (← links)
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
- Sequential monitoring of minimum variance portfolio (Q2461273) (← links)
- A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models (Q2483447) (← links)
- A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns (Q2691761) (← links)
- Sequential detection of switches in models with changing structures (Q2804556) (← links)
- A transitional Markov switching autoregressive model (Q2815965) (← links)
- ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES (Q2886955) (← links)
- On the forecasting ability of ARFIMA models when infrequent breaks occur (Q3023032) (← links)
- Temporal aggregation of Markov-switching financial return models (Q3077477) (← links)
- FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714) (← links)
- Modeling the coupled return-spread high frequency dynamics of large tick assets (Q3302105) (← links)
- Space-time transport schemes and homogenization. I: general theory of Markovian and non-Markovian processes (Q3302989) (← 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)
- An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk (Q4562475) (← links)
- A duscrete-time model of high-frequency stock returns (Q4610219) (← links)
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS (Q4817926) (← links)
- Hidden Markov Mixture Autoregressive Models: Stability and Moments (Q4921660) (← links)
- Third and fourth moments of vector autoregressions with regime switching (Q4975126) (← links)
- Backtesting expected shortfall and beyond (Q5014244) (← links)
- Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models (Q5037794) (← links)
- Eliminating the omitted variable bias by a regime-switching approach (Q5123497) (← links)
- Pricing barrier options by a regime switching model (Q5300446) (← links)
- HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS (Q5371157) (← links)
- Financial contagion, spillovers and causality in the Markov switching framework (Q5697343) (← links)
