Accounting for regime and parameter uncertainty in regime-switching models

DOI10.1016/J.INSMATHECO.2011.07.003MaRDI QIDQ654823zbMATH OpenOpenAlexFDO

Authors Brian M. Hartman, Matthew J. Heaton

Publication date 21 December 2011

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2011.07.003

zbMATH Keywords

Dirichlet processBayesian modelingasset price simulation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 3896009 (Why is no real title available?)
• A Bayesian analysis of some nonparametric problems
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A Regime-Switching Model of Long-Term Stock Returns
• A new look at the statistical model identification
• Autoregressive conditional heteroskedasticity and changes in regime
• Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method
• Bayesian Risk Management for Equity-Linked Insurance
• Estimating the dimension of a model
• Ferguson distributions via Polya urn schemes
• Hierarchical Dirichlet Processes
• Investment guarantees: Modeling and risk management for equity-linked life insurance
• Markov chain Monte Carlo methods and the label switching problem in Bayesian mixture modeling
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination

Cited in

(7)

• Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing
• Variational Bayes for regime-switching log-normal models
• Ensemble Economic Scenario Generators: Unity Makes Strength
• How should a local regime-switching model be calibrated?
• A new approach to model regime switching
• Model Selection and Averaging in Financial Risk Management
• Economic scenario generator and parameter uncertainty: a Bayesian approach

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