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结果：找到“MARKOV REGIME SWITCHING”相关内容35个，排序为按回复时间降序，搜索更多相关帖子请点击“高级”

Markov Regime Switching Models的matlab程序2015版
8 个回复 - 3429 次查看 Marcelo Perlin开发的matlab package最新版, 具体程序见附件 code网址：https://sites.google.com/site/ma ... ng-models-in-matlab pdf格式的使用说明，网址：http://papers.ssrn.com/sol3/papers.cfm?abstr ...2016-9-18 17:25 - 葛新龙 - MATLAB等数学软件专版

马尔科夫机制转换（Markov regime switching）转换模型的Eviews实现
24 个回复 - 17256 次查看本人正在学习马尔科夫机制转换模型，用Eviews6.0的LOGL编写了一段程序，但运行时总是提示：“Missing value in @logl series at current coefficient at observaton 1996m02”（1996m02是因变量的第一个观察值），这 ...2009-10-28 21:03 - oldoddm - EViews专版

求文献1篇：An Implementation of Markov Regime Switching GARCH Models in Matlab
5 个回复 - 760 次查看【作者(必填)】 Chuffart, Thomas 【文题(必填)】 An Implementation of Markov Regime Switching GARCH Models in Matlab 【年份(必填)】 2017 【全文链接或数据库名称(选填)】 https://www.ona ...2020-1-21 00:46 - Monodium - 求助成功区

MS_Regress - A Package for Markov Regime Switching Models in Matlab
2 个回复 - 2761 次查看 [/backcolor] Č Ċ About the MS_Regress_Package.pdf (530k) Marcelo Perlin, Oct 30, 2014, 9:05 AM v.7 ď ċ MS_Regress_FEX_1.07.zip (248k) Marcelo Per ...2015-3-30 23:10 - Nicolle - winbugs及其他软件专版

自己写的markov regime switching DCC model
28 个回复 - 13334 次查看有感兴趣的或者用的着同学进来下，收取80论坛币2011-5-31 15:14 - rcjrn - 金融工程（数量金融）与金融衍生品

Granger Causality and Regime Inference in Markov Switching VAR Models with Bayes
1 个回复 - 575 次查看【作者(必填)】Matthieu Droumaguet, Anders Warne, Tomasz Woźniak 【文题(必填)】Granger Causality and Regime Inference in Markov Switching VAR Models with Bayesian Methods 【年份(必填)】2017 ...2018-1-18 13:04 - jzbd - 求助成功区

Markov-Switching Models with Evolving Regime-Specific Parameters: Are Postwar Bo
4 个回复 - 748 次查看【作者(必填)】 Yunjong Eo[/backcolor] and Chang-Jin Kim[/backcolor] 【文题(必填)】 Markov-Switching Models with Evolving Regime-Specific Parameters: Are Postwar Booms or Recessions All Alike?【年份 ...2018-1-9 11:49 - jzbd - 求助成功区

求助Markov Regime Switching models的R-square手动计算
2 个回复 - 1437 次查看抱着试一试的心态来问问坛子里的大神：我在使用Marcelo Perlin的Matlab Package跑MS regression的时候，输出的结果里面是没有拟合优度这一项的，看Perlin在问答里说，一些检验的统计量需要自行计算，但是作为新手的 ...2017-7-29 18:02 - 一路风景_ - MATLAB等数学软件专版

最新版MATLAB Package for Markov Regime Switching Models
2 个回复 - 2028 次查看 matlab package for MS Regress 1.09 matlab package for TVTP models based on MS Regress. paper updated 20152015-10-28 20:46 - chenchen2304 - MATLAB等数学软件专版

Optimal financing and dividend policy with Markovian switching regimes
7 个回复 - 676 次查看【作者(必填)】Huiming Zhu[/backcolor], Chao Deng[/backcolor], Yingchun Deng[/backcolor] & Ya Huang[/backcolor] 【文题(必填)】Optimal financing and dividend policy with Markovian switching regimes ...2016-12-5 22:04 - keeper - 求助成功区

Time-Varying Transition Probabilities for Markov Regime Switching Models
1 个回复 - 1008 次查看【作者(必填)】Marco Bazzi1, Francisco Blasques2, Siem Jan Koopman2,3,* andAndre Lucas2 【文题(必填)】Time-Varying Transition Probabilities for Markov Regime Switching Models 【年份(必填)】2016 ...2017-4-28 09:25 - hnhs100 - 求助成功区

Growth, Saving, Financial Markets, and Markov Switching Regimes
3 个回复 - 627 次查看【作者(必填)】Tor Jacobson1 / Thomas Lindh2 / Anders Warne3 【文题(必填)】Growth, Saving, Financial Markets, and Markov Switching Regimes 【年份(必填)】2002 【全文链接或数据库名称(选填)】http ...2016-12-18 17:39 - runman - 求助成功区

Regression tree model versus Markov regime switching: a comparison for electrici
2 个回复 - 663 次查看【作者(必填)】Aristeidis Samitas, Aggelos Armenatzoglou 【文题(必填)】Regression tree model versus Markov regime switching: a comparison for electricity spot price modelling and forecasting 【年 ...2016-9-28 21:42 - qianhaoqi - 求助成功区

Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model
1 个回复 - 484 次查看【作者(必填)】Wei Wanga* & Wensheng Wangab 【文题(必填)】Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model 【年份(必填)】2010 【全文链接或数据库名称(选填)】http://www.t ...2016-5-27 11:32 - hnu123 - 求助成功区

Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model
1 个回复 - 457 次查看【作者(必填)】Wei Wanga* & Wensheng Wangab 【文题(必填)】Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model 【年份(必填)】2010 【全文链接或数据库名称(选填)】http://www.t ...2016-3-28 19:50 - hnu123 - 求助成功区

[求助]关于Markov regime switching Garch
36 个回复 - 17001 次查看各位，请问你们有没有运行过Marcucci写的一个关于Markov状态转换GARCH的程序，在运行的时候，总会出现数据类型不匹配的错误，如下所示：??? Subscripted assignment dimension mismatch.Error in ==> mrsgarchestf ...2009-5-20 15:53 - csfe - MATLAB等数学软件专版

Heston-Type Stochastic Volatility with a Markov Switching Regime
1 个回复 - 641 次查看【作者(必填)】Robert J. Elliott1, Katsumasa Nishide2, 【文题(必填)】Heston-Type Stochastic Volatility with a Markov Switching Regime 【年份(必填)】2015 【全文链接或数据库名称(选填)】http://on ...2016-2-18 17:31 - hnhs100 - 求助成功区

求文献on risk minimizing protfolios under a markovian regime switching
2 个回复 - 819 次查看【作者(必填)】elliott r. j and siu t.k. 【文题(必填)】on risk minimizing protfolios under a markovian regime switching black-scholes economy 【年份(必填)】2010 【全文链接或数据库名称(选填)】2015-7-28 14:11 - macro-quant - 求助成功区

求文献robust optimal protfolio choice under markovian regime switching model
2 个回复 - 690 次查看【作者(必填)】elliott r.j. and siu t.k. 【文题(必填)】robust optimal protfolio choice under markovian regime switching model 【年份(必填)】2009 【全文链接或数据库名称(选填)】2015-7-28 14:08 - macro-quant - 求助成功区

求文献Foreign exchange rates under Markov regime switching
2 个回复 - 759 次查看【作者(必填)】S. Goutte and B. Zou 【文题(必填)】Foreign exchange rates under Markov regime switching model 【年份(必填)】2011 【全文链接或数据库名称(选填)】2015-7-2 22:39 - macro-quant - 求助成功区

Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model
4 个回复 - 571 次查看【作者(必填)】Wei Wang Wensheng Wang 【文题(必填)】Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model 【年份(必填)】2010 【全文链接或数据库名称(选填)】http://onlineli ...2015-6-8 11:04 - lipj - 求助成功区

Markov regime switching Model
14 个回复 - 11321 次查看最近朋友找我帮忙做一个计量模型的 Markov regime swithing 的模型，我想了一周，也没改造成功，看到论坛那么多有才的人，比如epoh，我这里发一个贴，期待各位的回应。看看能解决这个问题不。这里发一个arch_3_state ...2011-5-16 15:24 - tulipsliu - MATLAB等数学软件专版

New measure selection for Hunt–Devolder semi-Markov regime switching
1 个回复 - 1008 次查看【作者(必填)】 [*]Manolis N. Syllignakisa, [*]Georgios P. Kouretasa, b, , 【文题(必填)】New measure selection for Hunt–Devolder semi-Markov regime switching interest rate models 【年份(必填 ...2014-7-13 16:57 - nkky2011 - 求助成功区

Markov Regime Switching Model 資料與高手
2 个回复 - 2086 次查看各位版友好. 小妹想找會Markov Regime Switching Model機制轉換模型的同道,有償協助小妹完成論文分析與模型建立.若有興趣的朋友,請加我私聊. 另外, 若各位朋友手上有任何海外文獻有關[金融資源論]與[ 金融資源配置 ...2013-11-22 09:15 - fin-qq - 数据分析与数据挖掘

ox code Regime dependent Impulse Response Functions in a Markov switching Vector
3 个回复 - 3377 次查看我需要 Regime dependent Impulse Response Functions in a Markov switching Vector Autoregression Model论文所附的OX程序，作者主页之前是有的，后来因为OX版本升级后，该msvar程序包不再能使用，就给删除了，不 ...2011-8-30 14:14 - yexingtianma - MATLAB等数学软件专版

Sovereign credit risk in a hidden Markov regime-switching framework Part 1: meth
1 个回复 - 1811 次查看【作者(必填)】Potgeiter, Louise and Fusai, Gianluca 【文题(必填)】Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: methodology 【年份(必填)】Journal of Financial Tran ...2013-6-19 09:31 - ssylzz - 求助成功区

请教：关于markov switching regime的问题
0 个回复 - 904 次查看 markov switching 有两种，一种是reduced form, 比如 yt=c(st)+a(st)*yt-1, 还有一种就是yt-u(st)=c(st)+a(st)(yt-1-ut-1), 这里怎么才能把系数c转换成平均值，如果不是regime switching 问题，直接c/(1-a), 如果是m ...2013-4-24 23:20 - maggietan - 计量经济学与统计软件

A Markov model of switching-regime ARCH
2 个回复 - 1210 次查看【作者(必填)】Cai, J. 【文题(必填)】A Markov model of switching-regime ARCH 【年份(必填)】 (1994). 【全文链接或数据库名称(选填)】2012-8-26 10:02 - 迷途mitu - 求助成功区

关于markov switching regime VAR model (MSVAR)程序运行结果问题
4 个回复 - 4237 次查看我看了关于http://bbs.pinggu.org/forum.php? ... ;extra=#pid13311598讨论，我对结果还是很糊涂，想请教下，比如结果 ---------------------------------------------------------------------------------- St ...2012-6-5 17:47 - maggietan - Gauss专版

A bivariate Markov regime switching GARCH approach to estimate time varying mini
2 个回复 - 1656 次查看【作者(必填)】Hsiang-Tai Leea & Jonathan K. Yoderb* 【文题(必填)】A bivariate Markov regime switching GARCH approach to estimate time varying minimum variance hedge ratios 【年份(必填)】2007 ...2012-4-2 16:13 - 迷途mitu - 求助成功区

markov regime switching
2 个回复 - 3826 次查看大牛帮看下附件里的code怎么用吧...多谢多谢了2009-3-12 14:04 - pussinboots - Gauss专版

如何确定markov switching model中regime的个数？
17 个回复 - 7791 次查看采用AIC,BIC可以吗，还有什么别的办法用什么软件可以自动处理呢谢谢2005-9-3 22:24 - haoqm - 计量经济学与统计软件

Markov regime switching 关于初始值的设定问题
1 个回复 - 1987 次查看想请教下大家Markov regime switching 关于初始值的设定问题。比如，两个STATE，那么在我们运行Gauss程序时，需要输入初始值，也就是U0 U1 SIGMA0 SIGMA1，P11 和P22，我想请教的问题是怎么根据时间序列的不同 ...2008-11-20 09:30 - maggietan - 计量经济学与统计软件

Pricing Commodity Options under Markov Regime Switching GARCH Processes-基于马...
0 个回复 - 177 次查看 2006-2-5 11:05 - 舆论学083 - Forum

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