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Revisiting the bull and bear markets notions in the Tunisian stock market : new evidence from multi-state duration-dependence Markov-switching models

Bejaoui, Azza; Karaa, Adel - In: Economic modelling 59 (2016), pp. 529-545

Persistent link: https://www.econbiz.de/10011647922

Evidences of Bull and Bear Markets in the Bovespa index : an application of Markovian regime-switching models with duration dependence

Mendes, Fernando Henrique de Paula e Silva; Moura, … - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 1, pp. 39-74

Persistent link: https://www.econbiz.de/10012129029

Selected techniques of detecting structural breaks in financial volatility

Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

Persistent link: https://www.econbiz.de/10011393264

Investigating new sources of information and nonlinearities on financial markets

Behrendt, Simon - 2020

Persistent link: https://www.econbiz.de/10012415028

Should I stay or should I go? : a latent threshold approach to large-scale mixture innovation models

Huber, Florian; Kastner, Gregor; Feldkircher, Martin - 2018

We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time-variation in...

Persistent link: https://www.econbiz.de/10011930275