Pages that link to "Item:Q3004023"

The following pages link to Theory and inference for a Markov switching GARCH model (Q3004023):

Displaying 50 items.

• Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model (Q286453) (← links)
• Methods for inference in large multiple-equation Markov-switching models (Q299218) (← links)
• Bayesian non-parametric mixtures of GARCH(1,1) models (Q454766) (← links)
• Stable mixture GARCH models (Q528154) (← links)
• A long memory model with normal mixture GARCH (Q656952) (← links)
• Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach (Q736570) (← links)
• Markov switching asymmetric GARCH model: stability and forecasting (Q779705) (← links)
• The autocorrelation structure of the Markov-switching asymmetric power GARCH process (Q945788) (← links)
• A high-order Markov-switching model for risk measurement (Q980081) (← links)
• Probabilistic properties of periodic GARCH prosses (Q1009536) (← links)
• Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference (Q1023632) (← links)
• Maximum likelihood estimation of the Markov-switching GARCH model (Q1623509) (← links)
• Bayesian option pricing using mixed normal heteroskedasticity models (Q1623554) (← links)
• A dynamic Markov regime-switching GARCH model and its cumulative impulse response function (Q1642424) (← links)
• Efficient Gibbs sampling for Markov switching GARCH models (Q1659098) (← links)
• Parameter estimation of Markov switching bilinear model using the (EM) algorithm (Q1680935) (← links)
• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure (Q1703024) (← links)
• Ergodicity conditions for a double mixed Poisson autoregression (Q1726882) (← links)
• QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes (Q2063074) (← links)
• Statistical inference for mixture GARCH models with financial application (Q2135925) (← links)
• Structural change in the link between oil and the European stock market: implications for risk management (Q2178931) (← links)
• Regime switching model estimation: spectral clustering hidden Markov model (Q2241182) (← links)
• High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model (Q2246711) (← links)
• A switching microstructure model for stock prices (Q2312402) (← links)
• Mixed-frequency VAR models with Markov-switching dynamics (Q2453034) (← links)
• Marginal likelihood for Markov-switching and change-point GARCH models (Q2512618) (← links)
• The \(L^2\)-structures of standard and switching-regime GARCH models (Q2567232) (← links)
• Estimation of flexible fuzzy GARCH models for conditional density estimation (Q2629962) (← links)
• Markov-switching quantile autoregression: a Gibbs sampling approach (Q2691752) (← links)
• Modeling time-varying parameters using artificial neural networks: a GARCH illustration (Q2700575) (← links)
• Conditional heteroskedasticity driven by hidden Markov chains (Q2740104) (← links)
• Conditional Density Estimation Using Fuzzy GARCH Models (Q2805784) (← links)
• Markov switching component GARCH model: Stability and forecasting (Q2816418) (← links)
• On the stationarity of Markov-switching GARCH processes (Q2886955) (← links)
• Skew-Normal Mixture and Markov-Switching GARCH Processes (Q3064340) (← links)
• Asymmetric Volatility Models with Structural Breaks (Q3168366) (← links)
• Probabilistic properties of a Markov-switching periodic GARCH process (Q3297110) (← links)
• Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models (Q3521273) (← links)
• Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-<i>t</i> innovations (Q3566441) (← links)
• Markov-Switching GARCH Modelling of Value-at-Risk (Q3574728) (← links)
• Markov Switching GARCH Models: Filtering, Approximations and Duality (Q4609750) (← links)
• Markov-switching <i><i>BILINEAR</i> − <i>GARCH</i></i> models: Structure and estimation (Q4638707) (← links)
• A nesting framework for Markov-switching GARCH modelling with an application to the German stock market (Q5001140) (← links)
• State Heterogeneity Analysis of Financial Volatility using high‐frequency Financial Data (Q5030954) (← links)
• Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation (Q5049444) (← links)
• Markov switch smooth transition HYGARCH model: Stability and estimation (Q5077192) (← links)
• Stationarity and ergodicity of Markov switching positive conditional mean models (Q5095291) (← links)
• EMU equity markets' return variance and spillover effects from the short-term interest rate (Q5746775) (← links)
• Gibbs sampling approach to regime switching analysis of financial time series (Q5964593) (← links)
• Markov switching quantile autoregression (Q6064121) (← links)