Add to ORKGResearch Paper Series (National University of Singapore. Faculty of Business Administration); 2003-0181-5
This paper deals with financial modeling to describe the behavior of asset returns, through consider...
Abstract To optimally account for dynamic and nonlinear changes in the stock market return distribut...
The unpredictable behaviour of financial time series has long been a concern for econometricians, ma...
Markov switching models are a family of models that introduces time variation in the parameters in t...
Recent decades have seen extensive interest in time-varying parameter models of macroeconomic and fi...
This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relatio...
SIGLEAvailable from British Library Document Supply Centre-DSC:3015.94405(34) / BLDSC - British Libr...
This article presents a new way of modeling time-varying volatility. We generalize the usual stochas...
The regime-switching Lévy model combines jump-diffusion under the form of a Lévy process, and Markov...
The regime-switching Lévy model combines jump-diffusion under the form of a Lévy process, and Markov...
Abstract: Modelling the growth rate of economic time series with a Markov switching process in their...
We adopt a regime switching approach to study concrete financial time series with particular emphasi...
This article presents a new way of modeling time-varying volatility. We generalize the usual stochas...
We propose a new class of Markov-switching (MS) models for business cycle analysis. As usually done ...
In many real phenomena the behaviour of a certain variable, subject to different regimes, depends on...
This paper deals with financial modeling to describe the behavior of asset returns, through consider...
Abstract To optimally account for dynamic and nonlinear changes in the stock market return distribut...
The unpredictable behaviour of financial time series has long been a concern for econometricians, ma...
Markov switching models are a family of models that introduces time variation in the parameters in t...
Recent decades have seen extensive interest in time-varying parameter models of macroeconomic and fi...
This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relatio...
SIGLEAvailable from British Library Document Supply Centre-DSC:3015.94405(34) / BLDSC - British Libr...
This article presents a new way of modeling time-varying volatility. We generalize the usual stochas...
The regime-switching Lévy model combines jump-diffusion under the form of a Lévy process, and Markov...
The regime-switching Lévy model combines jump-diffusion under the form of a Lévy process, and Markov...
Abstract: Modelling the growth rate of economic time series with a Markov switching process in their...
We adopt a regime switching approach to study concrete financial time series with particular emphasi...
This article presents a new way of modeling time-varying volatility. We generalize the usual stochas...
We propose a new class of Markov-switching (MS) models for business cycle analysis. As usually done ...
In many real phenomena the behaviour of a certain variable, subject to different regimes, depends on...
This paper deals with financial modeling to describe the behavior of asset returns, through consider...
Abstract To optimally account for dynamic and nonlinear changes in the stock market return distribut...
The unpredictable behaviour of financial time series has long been a concern for econometricians, ma...