An efficient sequential learning algorithm in regime-switching environments

DOI10.1515/SNDE-2018-0016MaRDI QIDQ2697041zbMATH OpenOpenAlexFDO

Authors Sunhyung Lee, Jae Ho Kim

Publication date 17 April 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2018-0016

zbMATH Keywords

parameter learningparticle filtersregime switching modelssequential Monte Carlo estimationvolatility models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Bayes Factors
• Breaks and persistency: macroeconomic causes of stock market volatility
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Dynamic linear models with Markov-switching
• Estimation and comparison of multiple change-point models
• Filtering via Simulation: Auxiliary Particle Filters
• Forecasting Stock Market Volatility with Regime-Switching GARCH Models
• scientific article; zbMATH DE number 1666093 (Why is no real title available?)
• Particle filters and Bayesian inference in financial econometrics
• Particle learning and smoothing
• Regime switching in foreign exchange rates: Evidence from currency option prices
• Simulation-based sequential analysis of Markov switching stochastic volatility models

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