Pages that link to "Item:Q1341198"
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The following pages link to Autoregressive conditional heteroskedasticity and changes in regime (Q1341198):
Displaying 50 items.
- Modelling volatility by variance decomposition (Q71677) (← links)
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- Neglecting parameter changes in GARCH models (Q265108) (← links)
- Markov-switching model selection using Kullback-Leibler divergence (Q278195) (← links)
- Numerical solutions of regime-switching jump diffusions (Q278452) (← links)
- Semi-parametric estimation and forecasting for exogenous log-GARCH models (Q285838) (← links)
- Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model (Q286453) (← links)
- Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (Q289183) (← links)
- Breaks and persistency: macroeconomic causes of stock market volatility (Q292011) (← links)
- Regime switching for dynamic correlations (Q292034) (← links)
- Multivariate Jacobi process with application to smooth transitions (Q292036) (← links)
- A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries (Q299262) (← links)
- Clustering financial time series: new insights from an extended hidden Markov model (Q319224) (← links)
- System identification: regime switching, unmodeled dynamics, and binary sensors (Q419930) (← links)
- Asymptotic properties of hybrid random processes modulated by Markov chains (Q419985) (← links)
- Two-state volatility transition pricing and hedging of TXO options (Q429529) (← links)
- Filtering a nonlinear stochastic volatility model (Q437251) (← links)
- Structure of a double autoregressive process driven by a hidden Markov chain (Q449432) (← links)
- Level changes in volatility models (Q470520) (← links)
- GARCH with omitted persistent covariate (Q485597) (← links)
- The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test (Q553013) (← links)
- Signal estimation with binary-valued sensors (Q601075) (← links)
- Empirical study of Nikkei 225 options with the Markov switching GARCH model (Q633826) (← links)
- Accounting for regime and parameter uncertainty in regime-switching models (Q654823) (← links)
- A long memory model with normal mixture GARCH (Q656952) (← links)
- Volatility forecast comparison using imperfect volatility proxies (Q737280) (← links)
- Markov switching asymmetric GARCH model: stability and forecasting (Q779705) (← links)
- Explicit solutions to European options in a regime-switching economy (Q813961) (← links)
- Idiosyncratic risk and the cross-section of stock returns: the role of mean-reverting idiosyncratic volatility (Q827252) (← links)
- Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions (Q903027) (← links)
- Pricing exotic options under a high-order Markovian regime switching model (Q933877) (← links)
- Evaluating volatility forecasts in option pricing in the context of a simulated options market (Q957226) (← links)
- Regime switching volatility calibration by the Baum-Welch method (Q989132) (← links)
- Pricing exotic options under regime switching (Q995503) (← links)
- Factor stochastic volatility with time varying loadings and Markov switching regimes (Q997296) (← links)
- Distribution switching in financial time series (Q1005213) (← links)
- Modelling extremes of time-dependent data by Markov-switching structures (Q1011533) (← links)
- Simulation-based sequential analysis of Markov switching stochastic volatility models (Q1020116) (← links)
- Tracking and identification of regime-switching systems using binary sensors (Q1023359) (← links)
- Volatility spillovers, interdependence and comovements: a Markov switching approach (Q1023631) (← links)
- Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference (Q1023632) (← links)
- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models (Q1037440) (← links)
- Value-at-risk via mixture distributions reconsidered (Q1039677) (← links)
- A note on testing regime switching assumption based on recurrence times (Q1041700) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- On a threshold autoregression with conditional heteroscedastic variances (Q1368891) (← links)
- Testing for parameter changes in ARCH models (Q1568067) (← links)
- Modeling long memory in stock market volatility (Q1588307) (← links)
- Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns (Q1604080) (← links)
- Multivariate Wishart stochastic volatility and changes in regime (Q1622088) (← links)
