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Markov Regime Switching Models的matlab程序2015版
9 个回复 - 3743 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

state space models with regime switching 详细版
1 个回复 - 1282 次查看 state space models with regime switching 详细版2022-4-14 23:23 - clb12345678 - Gauss专版

求文献Numerical methods for dividend optimization using regime-switching
3 个回复 - 592 次查看【作者(必填)】Z. Jin and G. Yin 【文题(必填)】Numerical methods for dividend optimization using regime-switching jump-diffusion models 【年份(必填)】2011 【全文链接或数据库名称(选填)】谢 ...2018-11-15 16:15 - sjm1972 - 求助成功区

State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approache
17 个回复 - 3222 次查看【作者(必填)】Chang-Jin Kim (作者), Charles R. Nelson (作者) 【文题(必填)】State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications (英语) 【年份(必填 ...2019-1-17 10:21 - lovebao - 求助成功区

A regime-switching approach to estimating the nonlinear quantity-based monetary
1 个回复 - 602 次查看【作者(必填)】 XU ZHANG ET AL. 【文题(必填)】 A regime-switching approach to estimating the nonlinear quantity-based monetary policy rule in China[/backcolor]【年份(必填)】 2017 【全文链接或数据库 ...2021-10-14 11:21 - zx8387 - 求助成功区

求文献1篇：An Implementation of Markov Regime Switching GARCH Models in Matlab
5 个回复 - 790 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

Financial stress, regime switching and spillover effects
1 个回复 - 760 次查看 Financial stress, regime switching and spillover effects: Evidence from a multi-regime global VAR model2018-9-2 10:31 - liuchao187 - 文献求助专区

The contagion effect in European sovereign debt markets: A regime-switching vine
1 个回复 - 382 次查看【作者(必填)】 2 【文题(必填)】 The contagion effect in European sovereign debt markets: A regime-switching vine copula approach 【年份(必填)】 3 【全文链接或数据库名称(选填)】 https://www.scie ...2018-8-22 15:41 - internet.hzx - 求助成功区

The frequency of regime switching in financial market volatility
2 个回复 - 456 次查看【作者(必填)】 AhmedBenSaïda[/backcolor] 【文题(必填)】 The frequency of regime switching in financial market volatility【年份(必填)】 2015 【全文链接或数据库名称(选填)】http://xueshu.baidu. ...2018-8-21 23:48 - internet.hzx - 求助成功区

求文献Option Valuation Under a Double Regime‐Switching Model
3 个回复 - 529 次查看【作者(必填)】Yang Shen 【文题(必填)】Option Valuation Under a Double Regime‐Switching Model 【年份(必填)】2014 【全文链接或数据库名称(选填)】https://onlinelibrary.wiley.com/doi/pdf/10.1002/ ...2018-6-11 13:32 - macro-quant - 求助成功区

马尔科夫机制转换（Markov regime switching）转换模型的Eviews实现
24 个回复 - 17417 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

请问关于regime switching怎么构造利率曲线？
0 个回复 - 607 次查看现偿二代中，保险合同负债折现率采用的是对评估日前750个工作日的银行间固定利率国债收益率曲线的即期利率进行移动平均，论文想重新构造一条曲线，涉及利率期限结构模型，有十几个不知道用哪个，导师说：“最好是用r ...2021-2-8 15:55 - biubiumz - 金融学（理论版）

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 - 13601 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 - 605 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 - 783 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

关于论文A Conditional Regime Switching CAPM中一个理解问题求解
0 个回复 - 1104 次查看 One of the aims of this paper is to provide a simple and replicable approach to estimating a conditional asset pricing model. Similar to the two-pass approach used in the standard CAPM, we adopt a t ...2017-12-30 21:43 - jmq19950824 - 金融学（理论版）

Pricing double barrier options under a volatility regime-switching model with ps
1 个回复 - 783 次查看【作者(必填)】Shiyu SongEmail author[/backcolor]Yongjin Wang 【文题(必填)】Pricing double barrier options under a volatility regime-switching model with psychological barriers 【年份(必填)】Review ...2017-12-10 15:19 - ssylzz - 求助成功区

求助Markov Regime Switching models的R-square手动计算
2 个回复 - 1475 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

State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approache
0 个回复 - 1845 次查看 State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications 书名：state-space models with regime switching:Classical and Gibbs-Sampling Approaches with Ap ...2017-5-10 11:12 - lzg_jlu - 计量经济学与统计软件

一个Regime Switching模型的matlab代码
2 个回复 - 2902 次查看机制转移模型函数用于评估、仿真及预测自回归的马尔可夫转换模型。可以选择用于模型估计的分布函数。用于研究时间序列结构性变化，分析金融、股市乃至通货膨胀的研究。2012-5-5 01:59 - skydownshit - MATLAB等数学软件专版

state-space models with regime switching:
71 个回复 - 25793 次查看书名：state-space models with regime switching:Classical and Gibbs-Sampling Approaches with Applications 作者：Chang-Jin Kim, Charles R. Nelson 格式：pdf分卷压缩来源：自己复印扫描大小：39m 页数 ...2008-9-9 08:12 - bookbug - 计量经济学与统计软件

最新版MATLAB Package for Markov Regime Switching Models
2 个回复 - 2073 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

Double barrier option under regime-switching exponential mean-reverting process
2 个回复 - 723 次查看【作者(必填)】P. Eloea, R. H. Liua* & J. Y. Suna 【文题(必填)】Double barrier option under regime-switching exponential mean-reverting process 【年份(必填)】2009 【全文链接或数据库名称(选填)】h ...2016-4-6 12:29 - hnu123 - 求助成功区

Optimal financing and dividend policy with Markovian switching regimes
7 个回复 - 707 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 - 1033 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

Financial Crisis and the Great Depression: A Regime-Switching Approach
5 个回复 - 677 次查看【作者(必填)】Patrick J. Coe 【文题(必填)】Financial Crisis and the Great Depression: A Regime-Switching Approach 【年份(必填)】2002 【全文链接或数据库名称(选填)】http://muse.jhu.edu/article/ ...2017-1-16 22:49 - runman - 求助成功区

Growth, Saving, Financial Markets, and Markov Switching Regimes
3 个回复 - 653 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

Forecasting Stock Market Volatility with Regime-Switching GARCH Models
15 个回复 - 1739 次查看【作者(必填)】Juri Marcucci 【文题(必填)】Forecasting Stock Market Volatility with Regime-Switching GARCH Models 【年份(必填)】2005 【全文链接或数据库名称(选填)】https://www.degruyter.com/vie ...2016-12-18 15:01 - runman - 求助成功区

On the estimation of regime-switching Lévy models
9 个回复 - 820 次查看【作者(必填)】Julien Chevallier / Stéphane Goutte 【文题(必填)】On the estimation of regime-switching Lévy models正文及附件【年份(必填)】2016 【全文链接或数据库名称(选填)】Studies in Nonli ...2016-11-3 17:14 - hkswen - 求助成功区

Regression tree model versus Markov regime switching: a comparison for electrici
2 个回复 - 681 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

endogenous regime switching model with unknown sample selection
3 个回复 - 1490 次查看亲们：请问STATA 有没有程序运行 endogenous regime switching model with unknown sample selection？ Y(1)=xb1+error term1 Y(2)=xb2+error term2 I=mb3+error term3 如果 I〉0 Y=y（1）如果I《=0 Y ...2016-9-28 15:23 - llcloud - Stata专版

Forecasting GDP growth using mixed-frequency models with switching regimes
1 个回复 - 722 次查看【作者(必填)】Fady Barsoum, Sandra Stankiewicz 【文题(必填)】Forecasting GDP growth using mixed-frequency models with switching regimes 【年份(必填)】2015 【全文链接或数据库名称(选填)】http:/ ...2016-9-28 21:18 - qianhaoqi - 求助成功区

An Investment Model via Regime-Switching Economic Indicators
5 个回复 - 1036 次查看求一个working paper: An Investment Model via Regime-Switching Economic Indicators, 作者赵永淦。[/backcolor]2016-8-30 09:29 - yanlinda50 - 求助成功区

Optimal selling rules in a regime-switching exponential Gaussian diffusion model
1 个回复 - 772 次查看【作者(必填)】P. Eloe, R. H. Llu, M. Yatsuki, G. Yin and Q. Zhang 【文题(必填)】Optimal selling rules in a regime-switching exponential Gaussian diffusion model 【年份(必填)】2008 【全文链接 ...2016-8-6 14:27 - yangnay - 求助成功区

determinants of exchange rate regime switching求助！
1 个回复 - 555 次查看【作者(必填)】Fiess, Norbert, and Rashmi Shankar 【文题(必填)】determinants of exchange rate regime switching 【年份(必填)】2009 【全文链接或数据库名称(选填)】Journal of International Money a ...2016-7-26 14:44 - ChrisEdward - 求助成功区

Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model
1 个回复 - 503 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 - 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 ...2016-3-28 19:50 - hnu123 - 求助成功区

[求助]关于Markov regime switching Garch
36 个回复 - 17146 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

请教关于regime switching 模型的问题
1 个回复 - 1031 次查看 1. 如何预测多变量的regime switching 模型 2.如何预测regime switching - GARCH 模型多谢！2016-3-23 21:19 - zjmmail - 爱问频道

Heston-Type Stochastic Volatility with a Markov Switching Regime
1 个回复 - 663 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

Regime-Switching GARCH---Hints for MRSGARCH程序
29 个回复 - 13379 次查看 Forecasting Stock Market Volatility with Regime-Switching GARCH Models" by J. Marcucci 原文和程序，但是程序有错误，下面是作者Marcucci给的修改意见。 ================================================= ...2010-7-1 01:31 - autozhao - MATLAB等数学软件专版

Regime-switching investment-saving correlation and international capital mobilit
3 个回复 - 650 次查看【作者(必填)】Tsung Wu Hoa 【文题(必填)】Regime-switching investment-saving correlation and international capital mobility 【年份(必填)】2000 【全文链接或数据库名称(选填)】http://www.tandfonlin ...2016-1-18 22:43 - zx8387 - 求助成功区

[下载]State-Space Models with Regime Switching- Classical and Gibbs-Sampling Appro
47 个回复 - 22907 次查看 [此贴子已经被作者于2008-3-31 12:47:14编辑过]2008-3-31 12:37 - state12 - 公共经济学

Long memory and regime switching
3 个回复 - 627 次查看 Long memory and regime switching: A simulation study on the Markov Regime-Switching ARFIMA model2015-10-27 20:38 - lucky187 - 求助成功区

[求助]State-Space Models with Regime Switching：Classical and Gibbs-Sampling
1 个回复 - 2453 次查看 State-Space Models with Regime Switching：Classical and Gibbs-Sampling Approaches with Applications2008-4-1 10:30 - mike_zhang - 求助成功区

求文献on risk minimizing protfolios under a markovian regime switching
2 个回复 - 834 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 - 716 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 - 776 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

Intrinsic bubbles and regime-switching
1 个回复 - 658 次查看【作者(必填)】 Driffill J, Sola M 【文题(必填)】 Intrinsic bubbles and regime-switching 【年份(必填)】 1998 【全文链接或数据库名称(选填)】 Driffill J, Sola M. Intrinsic bubbles and regime-switc ...2015-6-29 15:18 - 15002967574 - 求助成功区

求文献Stochastic impulse control with regime switching
5 个回复 - 712 次查看【作者(必填)】Luz R. Sotomayora & Abel Cadenillasbc 【文题(必填)】Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed co ...2015-6-8 16:12 - macro-quant - 求助成功区

Pricing Vulnerable Options Under a Markov-Modulated Regime Switching Model
4 个回复 - 581 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

急！Eviews8的新功能的RegimeSwitchingModel分析问题
10 个回复 - 4637 次查看现在写的论文想用Markov Regime Switching Model　给不动产投资信托（Reit市场）做一个分析，想求β值，regime状态设为2个，有查到Eview8.0添加了RegimeSwitching分析的新功请问能有哪位大人用过？求讲解如何往里带 ...2014-1-8 16:07 - silverbulletei - EViews专版

Regime Switching Model with Time Varying Transition Probabilities
14 个回复 - 1555 次查看 Regime Switching Model with Time Varying Transition Probabilitiesby Zhuanxin Ding[/backcolor] 14 Jun 2012 (Updated 20 Nov 2012)[/backcolor]**** 本内容被作者隐藏 ****[/backcolor]2015-3-31 00:13 - Nicolle - 计量经济学与统计软件

A Regime-Switching Nelson-Siegel Term Structure Model of Macroeconomy
1 个回复 - 959 次查看【作者(必填)】Xiaoneng Zhu & Shahidur Rahman 【文题(必填)】A Regime-Switching Nelson-Siegel Term Structure Model of the Macroeconomy 【年份(必填)】2015 (forthcoming) 【全文链接或数据库名称(选 ...2015-2-12 19:33 - oldman - 求助成功区

Exit problems in regime-switching models
1 个回复 - 780 次查看【作者(必填)】【文题(必填)】 Exit problems in regime-switching models【年份(必填)】Journal of Mathematical EconomicsVolume 44, Issue 2, 20 January 2008, Pages 180–206 【全文链接或数据库名称(选填 ...2015-1-21 13:09 - ssylzz - 求助成功区

Long-term strategic asset allocation with inflation risk and regime switching
1 个回复 - 764 次查看【作者(必填)】Tak Kuen Siu 【文题(必填)】Long-term strategic asset allocation with inflation risk and regime switching 【年份(必填)】Quantitative FinanceVolume 11, Issue 10, 2011 【全文链接或数据 ...2015-1-16 20:56 - 2008feier - 求助成功区

正式版On the First Passage Time Under Regime-Switching with Jumps
1 个回复 - 1111 次查看【作者(必填)】【文题(必填)】On the First Passage Time Under Regime-Switching with Jumps 【年份(必填)】【全文链接或数据库名称(选填)】http://link.springer.com/chapter/10.1007/978-3-319-02069-3_ ...2015-1-6 01:39 - ssylzz - 求助成功区

Markov regime switching Model
14 个回复 - 11398 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

求助下载A Multivariate Regime-Switching Mean Reverting Process and Its Applicati
1 个回复 - 1065 次查看【作者(必填)】 Yinghui Dongab*, Kam C. Yuenc & Chongfeng Wu 【文题(必填)】 A Multivariate Regime-Switching Mean Reverting Process and Its Application to the Valuation of Credit Risk 【年份(必填) ...2014-7-23 17:02 - hnu123 - 文献求助专区

Stochastic volatility model with regime-switching skewness
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求助Stochastic volatility model with regime-switching skewness
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[分享]春节贺礼：Kim及与其他共写的《State Space Models with Regime-Switching》3-11章gauss程序及数据2
11 个回复 - 7589 次查看 2006-1-20 16:46 - xuelida - Gauss专版

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[感谢]State-Space Models with Regime Switching：Classical and Gibbs-Sampling Approa
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请教：关于markov switching regime的问题
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6 个回复 - 4288 次查看小弟没什么matlab经验如果我已经写出了likelihood function,怎么做mle estimate 呢？是不是直接最大化这个写出来得likelihood function 就行了，用什么函数最大化呢？我看到有个mle function，不知道可以用么？ ...2010-8-7 12:39 - clark1025 - MATLAB等数学软件专版

Testing for Regime Switching: A Comment
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