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Publications by Marco Tronzano

Bayesian Markov Switching Stochastic Correlation Models

SSRN Electronic Journal

English

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Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets

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Improving Markov Switching Models Using Realized Variance

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Mixed-Frequency VAR Models With Markov-Switching Dynamics

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Bayesian Inference for Periodic Regime-Switching Models

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Modeling Systemic Risk With Markov Switching Graphical SUR Models

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Markov Regime Switching of Stochastic Volatility Lévy Model on Approximation Mode

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Time-Varying Transition Probabilities for Markov Regime Switching Models

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A Stochastic Method for Bayesian Estimation of Hidden Markov Random Field Models With Application to a Color Model

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Bayesian Inference of Asymmetric Stochastic Conditional Duration Models

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