Pages that link to "Item:Q756894"

The following pages link to Analysis of time series subject to changes in regime (Q756894):

Displaying 50 items.

• Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (Q274920) (← links)
• Markov-switching model selection using Kullback-Leibler divergence (Q278195) (← links)
• Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model (Q286453) (← links)
• Multivariate Jacobi process with application to smooth transitions (Q292036) (← links)
• Weak VARMA representations of regime-switching state-space models (Q345368) (← links)
• A new exact solution for pricing European options in a two-state regime-switching economy (Q356242) (← links)
• An evolutionary CAPM under heterogeneous beliefs (Q470657) (← links)
• The regime switching portfolios (Q538326) (← links)
• Log mean-variance portfolio selection under regime switching (Q538328) (← links)
• Mixture dynamics and regime switching diffusions with application to option pricing (Q539521) (← links)
• An analytic valuation method for multivariate contingent claims with regime-switching volatilities (Q635506) (← links)
• A confidence interval test for the detection of structural breaks (Q647992) (← links)
• The term structure of interest rates and regime shifts (Q672787) (← links)
• Analysis of single particle diffusion with transient binding using particle filtering (Q738666) (← links)
• Market risk and Bitcoin returns (Q827254) (← links)
• Optimal promotion planning -- depth and frequency -- for a two-stage supply chain under Markov switching demand (Q856292) (← links)
• Risk-averse profit-based optimal scheduling of a hydro-chain in the day-ahead electricity market (Q877630) (← links)
• Assessing the performance of model-based clustering methods in multivariate time series with application to identifying regional wind regimes (Q893352) (← links)
• Moving mesh methods for pricing Asian options with regime switching (Q908388) (← links)
• Recognition of degraded characters using dynamic Bayesian networks (Q936430) (← links)
• Tail behaviour and extremes of two-state Markov-switching autoregressive models (Q945187) (← links)
• Semi-parametric dynamic time series modelling with applications to detecting neural dynamics (Q965143) (← links)
• Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching (Q968489) (← links)
• Pricing exotic options under regime switching (Q995503) (← links)
• Stylized facts of financial time series and hidden semi-Markov models (Q1010564) (← links)
• Reversible jump and the label switching problem in hidden Markov models (Q1015879) (← links)
• Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables (Q1023565) (← links)
• Volatility spillovers, interdependence and comovements: a Markov switching approach (Q1023631) (← links)
• Heavy-tails and regime-switching in electricity prices (Q1028534) (← links)
• Value-at-risk via mixture distributions reconsidered (Q1039677) (← links)
• Business cycle durations (Q1298429) (← links)
• Switching state-space models: likelihood function, filtering and smoothing (Q1299533) (← links)
• Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching (Q1305646) (← links)
• Estimating continuous-time stochastic volatility models of the short-term interest rate (Q1362071) (← links)
• Lending cycles (Q1377307) (← links)
• Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices (Q1621243) (← links)
• Regime switches in the dependence structure of multidimensional financial data (Q1623563) (← links)
• VIX forecast under different volatility specifications (Q1627811) (← links)
• Efficient estimation of Markov regime-switching models: an application to electricity spot prices (Q1633253) (← links)
• A dynamic Markov regime-switching GARCH model and its cumulative impulse response function (Q1642424) (← links)
• On mixture autoregressive conditional heteroskedasticity (Q1643793) (← links)
• How should a local regime-switching model be calibrated? (Q1655569) (← links)
• The stock-bond comovements and cross-market trading (Q1656474) (← links)
• Market-making strategy with asymmetric information and regime-switching (Q1657343) (← links)
• Model-based time-varying clustering of multivariate longitudinal data with covariates and outliers (Q1658183) (← links)
• What proportion of time is a particular market inefficient? {\dots} A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions (Q1669692) (← links)
• A note on the macroeconomic consequences of ethnic/racial tension (Q1673451) (← links)
• Parameter estimation of Markov switching bilinear model using the (EM) algorithm (Q1680935) (← links)
• Forecasting in nonlinear univariate time series using penalized splines (Q1685198) (← links)
• Regime switching panel data models with interactive fixed effects (Q1738414) (← links)