We present a general class of nonlinear time-series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as in the laws of motion in each of the regimes. This class of models allows for non-trivial dependencies between seasonal, cy
β¦ LIBER β¦
A Bayesian regime-switching time-series model
β Scribed by Jaehee Kim; Sooyoung Cheon
- Book ID
- 111040152
- Publisher
- John Wiley and Sons
- Year
- 2010
- Tongue
- English
- Weight
- 944 KB
- Volume
- 31
- Category
- Article
- ISSN
- 0143-9782
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Bayesian inference for periodic regime-s
β
Eric Ghysels; Robert E. McCulloch; Ruey S. Tsay
π
Article
π
1998
π
John Wiley and Sons
π
English
β 214 KB
π 2 views
A first-passage-time model under regime-
β
Mi Ae Kim; Bong-Gyu Jang; Ho-Seok Lee
π
Article
π
2008
π
Elsevier Science
π
English
β 276 KB
BAYESIAN MODELS OF FORECASTED TIME SERIE
β
Roman Krzysztofowicz
π
Article
π
1985
π
American Water Resources Association
π
English
β 770 KB
Bayesian Subset Model Selection for Time
β
N. K. Unnikrishnan
π
Article
π
2004
π
John Wiley and Sons
π
English
β 514 KB
Optimal hedging with a regime-switching
β
Hsiang-Tai Lee; Jonathan Yoder
π
Article
π
2007
π
John Wiley and Sons
π
English
β 307 KB
## Abstract The authors develop a Markov regimeβswitching timeβvarying correlation generalized autoregressive conditional heteroscedasticity (RSβTVC GARCH) model for estimating optimal hedge ratios. The RSβTVC nests within it both the timeβvarying correlation GARCH (TVC) and the constant correlatio
A simple regime switching term structure
β
AsbjΓΈrn T. Hansen; Rolf Poulsen
π
Article
π
2000
π
Springer-Verlag
π
English
β 143 KB