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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
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Forecasting latent volatility through a Markov chain approximation filter
Lo, Chia Chun; Skindilias, Konstantinos; … - In: Journal of forecasting 35 (2016) 1, pp. 54-69
Persistent link: https://www.econbiz.de/10011417712
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Discrete stochastic autoregressive volatility
Cordis, Adriana S.; Kirby, Chris - In: Journal of banking & finance 43 (2014), pp. 160-178
Persistent link: https://www.econbiz.de/10010410013
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Inference on filtered and smoothed probabilities in Markov-switching autoregressive models
Álvarez, Rocío; Camacho, Maximo; Ruiz Marín, Manuel - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 484-495
Persistent link: https://www.econbiz.de/10012178190
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Dependence modelling of Malaysian Ringgit (MYR) and Thai Baht (THB) : the Markov switching model with dynamic copula approach (DCA) and bivariate extreme value approach
Prasert Chaitip; Chukiat Chaiboonsri - In: International journal of computational economics and … 6 (2016) 2, pp. 138-155
Persistent link: https://www.econbiz.de/10011704600
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Estimation of the transition probabilities of the simple Markov model from micro data - a regression analytic approach
Rosenqvist, Gunnar - 1981
Persistent link: https://www.econbiz.de/10003629175
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Markov chains
Revuz, Daniel - 1975
Persistent link: https://www.econbiz.de/10000093358
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Numerical computation of mean passage times and absorption probabilities in Markov and Semi-Markov models
Kohlas, J. - In: Zeitschrift für Operations-Research : ZOR ; … 30 (1986) 5, pp. 197-207
Persistent link: https://www.econbiz.de/10003606363
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Invariant distributions for monotone markov processes
Hopenhayn, Hugo A.; Prescott, Edward C. - 1987
Persistent link: https://www.econbiz.de/10003528450
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Stochastic processes : modelling and simulation
Shanbhag, D. N. (contributor);  … - 2003 - 1. ed.
Persistent link: https://www.econbiz.de/10001711454