Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Anthony Osuntuyi"'
Publikováno v:
Annals of Operations Research.
Publikováno v:
SSRN Electronic Journal.
This paper examines the impact of climate shocks on 13 European economies analysing jointly business and financial cycles, in different phases and disentangling the effects for different sector channels. A Bayesian Panel Markov-switching framework is
This paper introduces a new model for panel data with Markov-switching GARCH effects. The model incorporates a series-specific hidden Markov chain process that drives the GARCH parameters. To cope with the high-dimensionality of the parameter space,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::685d72140f2d14012a113569b1f24d87
http://arxiv.org/abs/2012.10124
http://arxiv.org/abs/2012.10124
Publikováno v:
Energy Economics. 70:545-562
Effective hedging strategies on oil spot and future markets are relevant in reducing price volatility for investors, energy traders and companies operating in the oil markets. A new Bayesian multi-chain Markov-switching GARCH model for dynamic hedgin
Publikováno v:
International Journal of Online and Biomedical Engineering, Vol 16, Iss 15, Pp 80-93 (2020)
The properties of time-domain electroencephalographic data have been studied extensively. There has however been no attempt to characterize the temporal evolution of resulting spectral components when successive segments of electroencephalographic da
Publikováno v:
Computational Statistics & Data Analysis. 100:37-57
We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-move sampling techniques for Markov Switching (MS) state space models