Selective linear segmentation for detecting relevant parameter changes
Year of publication: |
2022
|
---|---|
Authors: | Dufays, Arnaud ; Houndetoungan, Elysee Aristide ; Coën, Alain |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 4, p. 762-805
|
Subject: | change-point | Hedge funds | model selection | structural change | time-varying parameter |
-
Selective linear segmentation for detecting relevant parameter changes
Dufays, Arnaud, (2019)
-
Change analysis of a dynamic copula for measuring dependence in multivariate financial data
Guegan, Dominique, (2010)
-
Change analysis of dynamic copula for measuring dependence in multivariate financial data
Guegan, Dominique, (2006)
- More ...
-
Selective linear segmentation for detecting relevant parameter changes
Dufays, Arnaud, (2019)
-
Autoregressive moving average infinite hidden markov-switching models
Bauwens, Luc, (2015)
-
Marginal Likelihood for Markov-switching and Change-point Garch Models
Luc, Luc, (2011)
- More ...