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infinite hidden Markov model
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DUFAYS, Arnaud
2
CARPANTIER, Jean-François
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Carpantier, Jean-François
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Dufays, Arnaud
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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Centre de Recherche en Économie Appliquée (CREA), Faculté de droit, d'économie et de finance
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CORE Discussion Papers
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Specific Markov-switching behaviour for ARMA parameters
CARPANTIER, Jean-François
;
DUFAYS, Arnaud
-
Center for Operations Research and Econometrics (CORE), …
-
2014
change over time. Applications to the U.S. GDP growth and the DJIA realized
volatility
highlight the relevance of estimating …
Persistent link: https://www.econbiz.de/10011094059
Saved in:
2
Infinite-state Markov-switching for dynamic
volatility
and correlation models
DUFAYS, Arnaud
-
Center for Operations Research and Econometrics (CORE), …
-
2012
Dynamic
volatility
and correlation models with fixed parameters are restrictive for time series subject to breaks …
Persistent link: https://www.econbiz.de/10010927665
Saved in:
3
Specific Markov-switching behaviour for ARMA parameters
Carpantier, Jean-François
-
Centre de Recherche en Économie Appliquée (CREA), …
-
2014
change over time. Applications to the U.S. GDP growth and the DJIA realized
volatility
highlight the relevance of estimating …
Persistent link: https://www.econbiz.de/10010753951
Saved in:
4
Infinite-state markov-switching for dynamic
volatility
Dufays, Arnaud
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 418-460
Persistent link: https://www.econbiz.de/10011589021
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