Distribution switching in financial time series

DOI10.1016/j.matcom.2008.08.012zbMath1155.91452OpenAlexW2071415435MaRDI QIDQ1005213

Kosei Fukuda

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

zbMATH Keywords

Bayesian information criterionCauchy distributiondata-based simulationdistribution switching

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (1)

Switching regression metamodels in stochastic simulation

Cites Work

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• 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

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