Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach
Year of publication: |
2013-08-13
|
---|---|
Authors: | Nonejad, Nima |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Long memory | Structural breaks | Change-points | Gibbs sampling |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | 2 pages long |
Classification: | C22 - Time-Series Models ; C11 - Bayesian Analysis ; C52 - Model Evaluation and Testing ; G10 - General Financial Markets. General |
Source: |
-
Nonejad, Nima, (2014)
-
Bayesian default probability models
AndrlĂková, Petra, (2014)
-
Model Uncertainty in Panel Vector Autoregressive Models
Koop, Gary, (2014)
- More ...
-
Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008
Nonejad, Nima, (2013)
-
Forecasting with the Standardized Self-Perturbed Kalman Filter
Grassi, Stefano, (2014)
-
A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory
Nonejad, Nima, (2013)
- More ...