Improving Markov Switching Models Using Realized Variance

Journal of Applied Econometrics - United States
doi 10.1002/jae.2605
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Wiley

Related search

Sparse Change-Point Har Models for Realized Variance

SSRN Electronic Journal
2016English

Sparse Change-Point HAR Models for Realized Variance

Econometric Reviews
EconomicsEconometrics
2018English

Bayesian Markov Switching Stochastic Correlation Models

SSRN Electronic Journal
2013English

Multi-Period Mean-Variance Portfolio Optimization With Markov Switching Parameters

Sba: Controle & Automação Sociedade Brasileira de Automatica
2008English

Optimal Hedging in Carbon Emission Markets Using Markov Regime Switching Models

Journal of International Financial Markets, Institutions and Money
EconomicsEconometricsFinance
2016English

Mixed-Frequency VAR Models With Markov-Switching Dynamics

Economics Letters
EconomicsFinanceEconometrics
2013English

Modeling Systemic Risk With Markov Switching Graphical SUR Models

Journal of Econometrics
Philosophy of ScienceApplied MathematicsEconomicsEconometricsHistory
2019English

Time-Varying Transition Probabilities for Markov Regime Switching Models

Journal of Time Series Analysis
UncertaintyApplied MathematicsStatisticsProbability
2016English

Switching Markov Gaussian Models for Dynamic Power System Inertia Estimation

IEEE Transactions on Power Systems
Electronic EngineeringPower TechnologyElectricalEnergy Engineering
2016English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy