Identifying volatility clusters using the PPM: a sensitivity analysis

DOI10.1007/S10614-005-5169-0zbMATH Open1121.91365OpenAlexW1999402508WikidataQ60215184 ScholiaQ60215184MaRDI QIDQ2576754FDOQ2576754

Authors: Rosangela H. Loschi, Pilar L. Iglesias, Leonardo S. L. Bastos 

Publication date: 14 December 2005

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10614-005-5169-0

Recommendations

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zbMATH Keywords

Yao's cohesionsInverted-Gamma distribution

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Product partition models for change point problems
• Bayesian Clustering and Product Partition Models
• Estimating and Testing Linear Models with Multiple Structural Changes
• A Bayesian Analysis for Change Point Problems
• On some characterizations of the \(t\)-distribution
• A Bayesian approach to inference about a change-point in a sequence of random variables
• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
• Estimation of a noisy discrete-time step function: Bayes and empirical Bayes approaches
• Product Partition Models for Normal Means
• An analysis of the influence of some prior specifications in the identification of change points via product partition model.
• A Gibbs sampling scheme to the product partition model: an application to change-point problems
• A Bayesian Analysis of a Change in the Precision of a Sequence of Independent Normal Random Variables at an Unknown Time Point

Cited In (1)

• Multipartition model for multiple change point identification

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