Gibbs sampling approach to regime switching analysis of financial time series
نویسندگان
چکیده
منابع مشابه
Gibbs sampling approach to regime switching analysis of financial time series
We will introduce a Monte Carlo type inference in the framework of Markov Switching models to analyse financial time series, namely the Gibbs Sampling. In particular we generalize the results obtained in [1, 5, 16] to take into account the switching mean as well as the switching variance case. In particular the volatility of the relevant time series will be treated as a state variable in order ...
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2016
ISSN: 0377-0427
DOI: 10.1016/j.cam.2015.12.010