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Cites work
- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Calculating posterior distributions and modal estimates in Markov mixture models
- Dynamic linear models with Markov-switching
- Estimation of Markov regime-switching regression models with endogenous switching
- Estimation of state-space models with endogenous Markov regime-switching parameters
- Markov-switching models with endogenous explanatory variables
- Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
- Moments of Markov switching models
- On leverage in a stochastic volatility model
- Specification testing in Markov-switching time-series models
- Testing for Regime Switching
Cited in
(19)- How to go viral: a COVID-19 model with endogenously time-varying parameters
- An adaptive regime-switching regression model for hedge funds
- Testing for observation-dependent regime switching in mixture autoregressive models
- Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach
- Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
- Estimation of state-space models with endogenous Markov regime-switching parameters
- Accounting for regime and parameter uncertainty in regime-switching models
- A spectral element method for option pricing under regime-switching with jumps
- Learning about the across-regime correlation in switching regression models
- Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
- Estimation of Markov regime-switching regression models with endogenous switching
- A structured variational learning approach for switching latent factor models
- Estimating a regime switching pairs trading model
- Origins of monetary policy shifts: a new approach to regime switching in DSGE models
- Filtering a Double Threshold Model With Regime Switching
- A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
- Regime switching models for circular and linear time series
- Regime switching panel data models with interactive fixed effects
- scientific article; zbMATH DE number 2129955 (Why is no real title available?)
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