Testing for observation-dependent regime switching in mixture autoregressive models

Journal of Econometrics ◽

10.1016/j.jeconom.2020.04.048 ◽

2020 ◽

Author(s):

Mika Meitz ◽

Pentti Saikkonen

Keyword(s):

Regime Switching ◽

Autoregressive Models

Download Full-text

Regime-Switching Global Vector Autoregressive Models

SSRN Electronic Journal ◽

10.2139/ssrn.2302510 ◽

2013 ◽

Author(s):

Michael Binder ◽

Marco Gross

Keyword(s):

Regime Switching ◽

Autoregressive Models ◽

Vector Autoregressive Models ◽

Vector Autoregressive ◽

Download Full-text

Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models

Statistica Sinica ◽

10.5705/ss.202019.0190 ◽

2021 ◽

Author(s):

Abbas Khalili ◽

David A. Stephens

Keyword(s):

Model Selection ◽

Regime Switching ◽

Autoregressive Models ◽

Markov Regime Switching ◽

Download Full-text

Regularization in Regime-Switching Gaussian Autoregressive Models

Advanced Statistical Methods in Data Science - ICSA Book Series in Statistics ◽

10.1007/978-981-10-2594-5_2 ◽

2016 ◽

pp. 13-34

Author(s):

Abbas Khalili ◽

Jiahua Chen ◽

David A. Stephens

Keyword(s):

Regime Switching ◽

Autoregressive Models

Download Full-text

TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS – AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS

Applications of Artificial Intelligence in Finance and Economics - Advances in Econometrics ◽

10.1016/s0731-9053(04)19003-8 ◽

2004 ◽

pp. 71-91 ◽

Author(s):

Jane M. Binner ◽

Thomas Elger ◽

Birger Nilsson ◽

Jonathan A. Tepper

Keyword(s):

Neural Networks ◽

Time Series ◽

Recurrent Neural Networks ◽

Regime Switching ◽

Linear Time ◽

Time Series Forecasting ◽

Autoregressive Models ◽

Empirical Comparison ◽

Vector Autoregressive Models ◽

Vector Autoregressive

Download Full-text

Ultrasonic Reflector Classification with Autoregressive Models

Research in Nondestructive Evaluation ◽

10.1080/09349848908968214 ◽

1989 ◽

Vol 1 (1) ◽

pp. 235-246

Author(s):

J. Richard Houghton ◽

Peitao Shen

Keyword(s):

Autoregressive Models

Download Full-text

Reciprocal relation between health and academic performance in children through autoregressive models.

School Psychology ◽

10.1037/spq0000409 ◽

2020 ◽

Vol 35 (5) ◽

pp. 332-342

Author(s):

Emilse Degoy ◽

Ricardo Olmos

Keyword(s):

Academic Performance ◽

Autoregressive Models ◽

Reciprocal Relation

Download Full-text

Regime switching in yield structures and forecasting securitised real estate returns

10.15396/eres2003_194 ◽

2003 ◽

Keyword(s):

Real Estate ◽

Regime Switching ◽

Real Estate Returns

Download Full-text

Cortico-Cortical Connectivity Decreased in Depression during Emotion Processing: Coherence Analysis by Multivariate Autoregressive Models

ACTA BIOPHYSICA SINICA ◽

10.3724/sp.j.1260.2013.20161 ◽

2013 ◽

Vol 29 (2) ◽

pp. 133

Author(s):

Zhenzhu XU ◽

Ling WEI ◽

Manfang MA ◽

Yingjie LI

Keyword(s):

Emotion Processing ◽

Autoregressive Models ◽

Coherence Analysis ◽

Cortical Connectivity ◽

Multivariate Autoregressive Models ◽

Multivariate Autoregressive

Download Full-text

Research of market interest rates of the SHIBOR based on regime switching model

JOURNAL OF SHENZHEN UNIVERSITY SCIENCE AND ENGINEERING ◽

10.3724/sp.j.1249.2015.03317 ◽

2015 ◽

Vol 32 (3) ◽

pp. 317 ◽

Author(s):

Xiangdong Liu ◽

Hui Guo

Keyword(s):

Interest Rates ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model

Download Full-text

A combined regime-switching and Black–Litterman model for optimal asset allocation

The Journal of Investment Strategies ◽

10.21314/jois.2015.052 ◽

2015 ◽

Vol 4 (3) ◽

pp. 1-36

Author(s):

Edwin O. Fischer ◽

Michael Murg

Keyword(s):

Asset Allocation ◽

Regime Switching

Download Full-text