Gibbs sampling approach to regime switching analysis of financial time series
DOI10.1016/J.CAM.2015.12.010zbMATH Open1333.91058OpenAlexW2229837624MaRDI QIDQ5964593FDOQ5964593
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
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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)
Cites Work
- Jarque–Bera Test and its Competitors for Testing Normality – A Power Comparison
- On Gibbs sampling for state space models
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- Title not available (Why is that?)
- A Bayesian Formulation of Exploratory Data Analysis and Goodness‐of‐fit Testing*
- TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II
- Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX
- Likelihood, Bayesian, and MCMC methods in quantitative genetics
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