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Markov Switching Component ARCH Model: Stability and Forecasting
ARCH models Markov process Stability Component GARCH models Forecasting Bayesian inference Griddy Gibbs sampling
2013/4/28
This paper introduces an extension of the Markov switching ARCH model where the volatility in each state is a convex combination of two different ARCH components with time varying weights with differe...
Parameter Estimation in Continuous Time Markov Switching Models: A Semi-Continuous Markov Chain Monte Carlo Approach
Bayesian inference data augmentation hidden Markov model
2009/9/24
In this paper,we combine useful aspects of both approaches.On the one hand,we are inspired by the discretization, where filtering for the state process is possible,on the other hand,we
catch attracti...
Bayesian Analysis of a Markov Switching Stochastic Volatility Model
marginal likelihood Markov-chain Monte Carlo Markov switching particle filter stochastic volatility TOPIX
2009/3/9
This article analyzes a Markov switching stochastic volatility (MSSV) model to accommodate the shift in the mean of log-volatility. Since it is difficult to estimate the parameters in this model based...
Markov switching models：an application to roadway safety
Markov switching models application roadway safety
2010/4/30
Malyshkina, Nataliya V. Ph.D., Purdue University, December 2008. Markov SwitchingModels:
an Application to Roadway Safety. Major Professors: Fred L.Mannering
and Andrew P. Tarko.
In this research, ...