Distribution switching in financial time series
From MaRDI portal
Publication:1005213
DOI10.1016/j.matcom.2008.08.012zbMath1155.91452OpenAlexW2071415435MaRDI QIDQ1005213
Publication date: 9 March 2009
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2008.08.012
Related Items (1)
Cites Work
- Estimating the number of change-points via Schwarz' criterion
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- A procedure for the modeling of non-stationary time series
- A Markov model for switching regressions
- Estimating the dimension of a model
- Autoregressive conditional heteroskedasticity and changes in regime
- Inferring the rank of a matrix
- Do Markov-switching models capture nonlinearities in the data? Tests using nonparametric methods.
- Estimation and model selection based inference in single and multiple threshold models.
- Simulated real-time detection of multiple structural changes: evidence from Japanese economic growth
- Measuring business cycle turning points in Japan with the Markov Switching Panel model
- Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK
- Unit-root detection allowing for measurement error
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
This page was built for publication: Distribution switching in financial time series