Identifying Speculative Bubbles with an Infinite Hidden Markov Model
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- Song, Yong & Shi, Shuping, 2012. "Identifying speculative bubbles with an in finite hidden Markov model," MPRA Paper 36455, 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.
- Jin, Xin & Maheu, John M., 2016.
"Bayesian semiparametric modeling of realized covariance matrices,"
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More about this item
Keywordsspeculative bubbles; infinite hidden Markov model; Dirichlet process;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
- NEP-ETS-2012-06-25 (Econometric Time Series)
- NEP-FOR-2012-06-25 (Forecasting)
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