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Reversible jump MCMC converging to birth-and-death MCMC and more general continuous time samplers

Cappé, Olivier; Robert, Christian P.; Rydén, Tobias - 2001

Persistent link: https://www.econbiz.de/10001626939

Convergence controls for MCMC algorithms with applications to hidden Markov chains

Robert, Christian P.; Rydén, Tobias; Titterington, David M. - 1998

Persistent link: https://www.econbiz.de/10000984190

Bayesian inference in hidden Markov models through jump Markov chain Monte Carlo

Robert, Christian P.; Rydén, Tobias; Titterington, David M. - 1999

Persistent link: https://www.econbiz.de/10001380711

Stylized facts of daily return series and the hidden Markov model

Rydén, Tobias; Teräsvirta, Timo; Åsbrink, Stefan E. - 1996

Persistent link: https://www.econbiz.de/10000947704

Stylized facts of daily return series and the hidden Markov model

Rydén, Tobias - In: Journal of applied econometrics 13 (1998) 3, pp. 217-244

Persistent link: https://www.econbiz.de/10001244225

Stylized Facts of Daily Return Series and the Hidden Markov Model

Rydén, Tobias - 1998

In two recent papers, Granger and Ding (1995a, b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of temporal and distributional properties for such series and suggested that the returns are well characterized by the...

Persistent link: https://www.econbiz.de/10012791056