Pages that link to "Item:Q1366796"
From MaRDI portal
The following pages link to Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis (Q1366796):
Displaying 50 items.
- Gaussian mixture vector autoregression (Q75584) (← links)
- Weak VARMA representations of regime-switching state-space models (Q345368) (← links)
- Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks (Q472754) (← links)
- The regime switching portfolios (Q538326) (← links)
- Separation theorem for independent subspace analysis and its consequences (Q663406) (← links)
- Structural vector autoregressions with Markov switching (Q846505) (← links)
- Assessing the performance of model-based clustering methods in multivariate time series with application to identifying regional wind regimes (Q893352) (← links)
- Multivariate Markov-switching ARMA processes with regularly varying noise (Q928854) (← links)
- Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap (Q934011) (← links)
- Markov-switching stochastic trends and economic fluctuations (Q953740) (← links)
- New algorithms for dating the business cycle (Q957217) (← links)
- The inflation aversion of the Bundesbank: A state space approach (Q959643) (← links)
- Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables (Q1023565) (← links)
- Volatility spillovers, interdependence and comovements: a Markov switching approach (Q1023631) (← links)
- Testing a model of the UK by the method of indirect inference (Q1025597) (← links)
- The stock-bond comovements and cross-market trading (Q1656474) (← links)
- Asymmetries and Markov-switching structural VAR (Q1657582) (← links)
- Skewness and kurtosis of multivariate Markov-switching processes (Q1659107) (← links)
- Regime switching panel data models with interactive fixed effects (Q1738414) (← links)
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime (Q1766135) (← links)
- Dynamic risk exposures in hedge funds (Q1927132) (← links)
- A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process (Q1985964) (← links)
- Measuring and predicting heterogeneous recessions (Q1994151) (← links)
- Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method (Q2008134) (← links)
- On the beliefs off the path: equilibrium refinement due to quantal response and level-\(k\) (Q2016224) (← links)
- Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns (Q2034839) (← links)
- OLS estimation of Markov switching VAR models: asymptotics and application to energy use (Q2058550) (← links)
- Goodness-of-fit tests for Markov Switching VAR models using spectral analysis (Q2123263) (← links)
- Statistical inference for mixture GARCH models with financial application (Q2135925) (← links)
- Markov-switching state-space models with applications to neuroimaging (Q2157524) (← links)
- Modelling covariance matrices by the trigonometric separation strategy with application to hidden Markov models (Q2273159) (← links)
- Asymptotic Fisher information matrix of Markov switching VARMA models (Q2397135) (← links)
- Mixed-frequency VAR models with Markov-switching dynamics (Q2453034) (← links)
- Measuring business cycle turning points in Japan with the Markov Switching Panel model (Q2479429) (← links)
- The \(L^2\)-structures of standard and switching-regime GARCH models (Q2567232) (← links)
- Price discovery in the markets for credit risk: a Markov switching approach (Q2691657) (← links)
- Testing for misspecification in the short-run component of GARCH-type models (Q2691778) (← links)
- Robust and efficient specification tests in Markov-switching autoregressive models (Q2694804) (← links)
- The term structure of eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach (Q2697098) (← links)
- Multivariate Markov-switching score-driven models: an application to the global crude oil market (Q2700546) (← links)
- Consistency of the maximum likelihood estimate for non-homogeneous Markov-switching models (Q2786481) (← links)
- Statistical analysis of mixture vector autoregressive models (Q2835319) (← links)
- DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS (Q2933197) (← links)
- Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area (Q3065499) (← links)
- What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study (Q3368387) (← links)
- A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT (Q3606397) (← links)
- NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1 (Q3623567) (← links)
- Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions (Q3632874) (← links)
- STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS (Q4319847) (← links)
- Empirical Performance and Asset Pricing in Hidden Markov Models (Q4434427) (← links)
