Search Results - subject:"generalized autoregressive score dynamics"

Forecasting risk measures using intraday data in a generalized autoregressive score framework

Lazar, Emese; Xue, Xiaohan - In: International journal of forecasting 36 (2020) 3, pp. 1057-1072

Persistent link: https://www.econbiz.de/10012497719

Time Varying Transition Probabilities for Markov Regime Switching Models

Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; … - 2014

We propose a new Markov switching model with time varying probabilities for the transitions. The novelty of our model is that the transition probabilities evolve over time by means of an observation driven model. The innovation of the time varying probability is generated by the score of the...

Persistent link: https://www.econbiz.de/10010377237

Time Varying Transition Probabilities for Markov Regime Switching Models

Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; … - Tinbergen Instituut - 2014

Persistent link: https://www.econbiz.de/10011256525

Time varying transition probabilities for Markov regime switching models

Bazzi, Marco; Blasques, Francisco; Koopman, Siem Jan; … - 2014

Persistent link: https://www.econbiz.de/10010362974