Hidden Markov models with t components. Increased persistence and other aspects
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- Bulla, Jan, 2009. "Hidden Markov models with t components. Increased persistence and other aspects," MPRA Paper 21830, University Library of Munich, Germany.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Alessio Farcomeni & Luca Greco, 2015. "S-estimation of hidden Markov models," Computational Statistics, Springer, vol. 30(1), pages 57-80, March.
- Trojan, Sebastian, 2013. "Regime Switching Stochastic Volatility with Skew, Fat Tails and Leverage using Returns and Realized Volatility Contemporaneously," Economics Working Paper Series 1341, University of St. Gallen, School of Economics and Political Science, revised Aug 2014.
- Mauro Bernardi & Lea Petrella, 2015. "Interconnected Risk Contributions: A Heavy-Tail Approach to Analyze U.S. Financial Sectors," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(2), pages 1-29, April.
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- M. Bernardi & L. Petrella, 2014. "Interconnected risk contributions: an heavy-tail approach to analyse US financial sectors," Papers 1401.6408, arXiv.org, revised Apr 2014.
- Georges Dionne & Amir Saissi Hassani, 2015. "Endogenous Hidden Markov Regimes in Operational Loss Data: Application to the Recent Financial Crisis," Cahiers de recherche 1516, CIRPEE.
- Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
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More about this item
KeywordsHidden Markov model; Markov-switching model; State persistence; t-distribution; Daily returns;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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