Gibbs sampling approach to regime switching analysis of financial time series

DOI10.1016/J.CAM.2015.12.010MaRDI QIDQ5964593zbMATHOpenAlexFDO

Authors Luca Di Persio, Matteo Frigo

Publication date 29 February 2016

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2015.12.010

zbMATH Keywords

Bayesian analysismaximum likelihoodregime switchingGibbs samplingMarkov switchingstate-space system

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 3059918 (Why is no real title available?)
• A Bayesian Formulation of Exploratory Data Analysis and Goodness‐of‐fit Testing*
• Jarque–Bera Test and its Competitors for Testing Normality – A Power Comparison
• Likelihood, Bayesian, and MCMC methods in quantitative genetics
• Markov switching model analysis of implied volatility for market indexes with applications to S\&P 500 and DAX
• On Gibbs sampling for state space models
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

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(2)

• A BSDE with delayed generator approach to pricing under counterparty risk and collateralization
• Time series represented by means of fuzzy piecewise lineal segments

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