Pages that link to "Item:Q2445715"

The following pages link to Real time detection of structural breaks in GARCH models (Q2445715):

Displaying 21 items.

• Empirical analysis of structural change in credit default swap volatility (Q336123) (← links)
• Bayesian non-parametric mixtures of GARCH(1,1) models (Q454766) (← links)
• Guaranteed detection of an imbalance instant of the GARCH-process (Q885777) (← links)
• Modelling breaks and clusters in the steady states of macroeconomic variables (Q1623520) (← links)
• Efficient Gibbs sampling for Markov switching GARCH models (Q1659098) (← links)
• Detecting structural breaks in realized volatility (Q1727922) (← links)
• Long memory and nonlinearities in realized volatility: a Markov switching approach (Q1927150) (← links)
• A Kalman particle filter for online parameter estimation with applications to affine models (Q2046297) (← links)
• Bayesian inference of multiple structural change models with asymmetric GARCH errors (Q2062347) (← links)
• Detection of structural breaks in a time-varying heteroskedastic regression model (Q2276169) (← links)
• Real time detection of structural breaks in GARCH models (Q2445715) (← links)
• Marginal likelihood for Markov-switching and change-point GARCH models (Q2512618) (← links)
• Modeling covariance breakdowns in multivariate GARCH (Q2630346) (← links)
• Modeling time-varying parameters using artificial neural networks: a GARCH illustration (Q2700575) (← links)
• Theory and inference for a Markov switching GARCH model (Q3004023) (← links)
• Asymmetric Volatility Models with Structural Breaks (Q3168366) (← links)
• (Q3295310) (← links)
• Structural break detection in financial durations (Q4627118) (← links)
• Si-GARCH: Construction and validation of a new method for the detection of breaking points in models (Q5358382) (← links)
• Bayesian Nonparametric Panel Markov-Switching GARCH Models (Q6150355) (← links)
• A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets (Q6623167) (← links)