Pages that link to "Item:Q2512618"
From MaRDI portal
The following pages link to Marginal likelihood for Markov-switching and change-point GARCH models (Q2512618):
Displaying 25 items.
- Markov-switching linked autoregressive model for non-continuous wind direction data (Q1618103) (← links)
- Maximum likelihood estimation of the Markov-switching GARCH model (Q1623509) (← links)
- Bayesian option pricing using mixed normal heteroskedasticity models (Q1623554) (← links)
- Efficient Gibbs sampling for Markov switching GARCH models (Q1659098) (← links)
- Parameter estimation of Markov switching bilinear model using the (EM) algorithm (Q1680935) (← links)
- Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure (Q1703024) (← links)
- Dynamics of variance risk premia: a new model for disentangling the price of risk (Q2190227) (← links)
- On a computationally scalable sparse formulation of the multidimensional and nonstationary maximum entropy principle (Q2219904) (← links)
- High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model (Q2246711) (← links)
- Modeling covariance breakdowns in multivariate GARCH (Q2630346) (← links)
- Infinite Markov pooling of predictive distributions (Q2673184) (← links)
- Bayesian analysis of periodic asymmetric power GARCH models (Q2697099) (← links)
- Modeling time-varying parameters using artificial neural networks: a GARCH illustration (Q2700575) (← links)
- THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE (Q2929381) (← links)
- Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series (Q3122064) (← links)
- Markov Switching GARCH Models: Filtering, Approximations and Duality (Q4609750) (← links)
- A nesting framework for Markov-switching GARCH modelling with an application to the German stock market (Q5001140) (← links)
- State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data (Q5030954) (← links)
- A segmented generalized Markov regime-switching model with its application in financial time series data (Q5107743) (← links)
- A Bayesian detection of structural changes in autoregressive time series models (Q6066367) (← links)
- Volatility models for stylized facts of high‐frequency financial data (Q6135344) (← links)
- Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution (Q6553225) (← links)
- Autoregressive Moving Average Infinite Hidden Markov-Switching Models (Q6616605) (← links)
- A Bayesian Quantile Time Series Model for Asset Returns (Q6620829) (← links)
- A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model (Q6634899) (← links)
