Expectile hidden Markov regression models for analyzing cryptocurrency returns
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Cites work
- A dynamic analysis of stock markets using a hidden Markov model
- A Maximization Technique Occurring in the Statistical Analysis of Probabilistic Functions of Markov Chains
- A new GEE method to account for heteroscedasticity using asymmetric least-square regressions
- Asymmetric Least Squares Estimation and Testing
- Bayesian regularisation in geoadditive expectile regression
- Coherence and elicitability
- Coherent measures of risk
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Estimating the dimension of a model
- Finite mixtures of quantile and M-quantile regression models
- Generalized quantiles as risk measures
- Geoadditive expectile regression
- Hidden Markov models for time series. An introduction using R
- Hidden semi-Markov-switching quantile regression for time series
- scientific article; zbMATH DE number 846906 (Why is no real title available?)
- Inference in finite state space non parametric hidden Markov models and applications
- Isotonicity properties of generalized quantiles
- Long memory of financial time series and hidden Markov models with time-varying parameters
- Markov regime-switching quantile regression models and financial contagion detection
- Markov switching quantile autoregression
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation
- Quantile hidden semi-Markov models for multivariate time series
- Quantile regression for longitudinal data based on latent Markov subject-specific parameters
- Regression Quantiles
- Spatio-temporal expectile regression models
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- The relationship between longevity and lifespan variation
- Unified Bayesian conditional autoregressive risk measures using the skew exponential power distribution
- VAR for VaR: measuring tail dependence using multivariate regression quantiles
Cited in
(4)- Hidden Markov graphical models with generalized hyperbolic distributions: a financial analysis on commodities and green energy indexes
- Hidden Markov Quantile Graphical Models
- Multivariate Markov switching Stingo, Francesco Claudio models: filtering, estimation and data analysis
- Hidden Markov graphical models with state-dependent generalized hyperbolic distributions
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