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On factorial HMMs for time series in finance
Saidane, Mohamed; Lavergne, Christian - In: The Kyoto economic review 75 (2006) 1, pp. 63-90
Persistent link: https://www.econbiz.de/10003475184
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Portfolio optimisation under flexible dynamic dependence modelling
Bernardi, Mauro; Catania, Leopoldo - In: Journal of empirical finance 48 (2018), pp. 1-18
Persistent link: https://www.econbiz.de/10012109219
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Parallel optimization of sparse portfolios with AR-HMMs
Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578
Persistent link: https://www.econbiz.de/10011762135
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Synchronization of Markov chains in multivariate regime-switching models
Vial, Raphael - 2015
Persistent link: https://www.econbiz.de/10010511447
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Assessing fiscal-policy sustainability : on the different states of the debt-to-gdp process
Velinov, Anton - In: FinanzArchiv : European journal of public finance 71 (2015) 4, pp. 415-439
Persistent link: https://www.econbiz.de/10011446903
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A time series model with periodic stochastic regime switching
Ghysels, Eric - 1993
Persistent link: https://www.econbiz.de/10000865918
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Business cycle durations
Filardo, Andrew J.; Gordon, Stephen F. - 1993
Persistent link: https://www.econbiz.de/10000876272
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Do leading indexes really influence the probability of Australian business cycle phase shifts?
Layton, Allan P. - 1996
Persistent link: https://www.econbiz.de/10000610231
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Currency crisis, sunspots and Markov-switching regimes
Jeanne, Olivier; Masson, Paul - 1998
Persistent link: https://www.econbiz.de/10000680182
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Estimating the parameters of the Markov probability model from aggregate time series data
Lee, Tsoung-Chao; Judge, George G.; Zellner, Arnold - 1970
Persistent link: https://www.econbiz.de/10000028012