Cointegration; Regime-Switching; Bayesian; MCMC - Articles

Bayesian Markov Regime-Switching Models for Cointegration (Articles)

Kai Cui, Wenshan Cui

Applied Mathematics Vol.3 No.12，December 14, 2012

DOI: 10.4236/am.2012.312259 7,321 Downloads 11,727 Views Citations
Bayesian Factorized Cointegration Analysis (Articles)

Kai Cui, Wenshan Cui

Open Journal of Statistics Vol.2 No.5，December 19, 2012

DOI: 10.4236/ojs.2012.25065 6,155 Downloads 8,718 Views Citations
Combining Internal Data with Scenario Analysis (Articles)

Elias Karam, Frédéric Planchet

Modern Economy Vol.6 No.5，May 22, 2015

DOI: 10.4236/me.2015.65055 4,489 Downloads 5,372 Views Citations
Is the Great Moderation Ending?——UK and US Evidence (Articles)

Giorgio Canarella, Wen-Shwo Fang, Stephen M. Miller, Stephen K. Pollard

Modern Economy Vol.1 No.1，June 7, 2010

DOI: 10.4236/me.2010.11002 4,698 Downloads 9,057 Views Citations
Identification and Estimation of Gaussian Affine Term Structure Models with Regime Switching (Articles)

Gang Wang

Journal of Mathematical Finance Vol.4 No.3，April 22, 2014

DOI: 10.4236/jmf.2014.43014 4,787 Downloads 6,813 Views Citations
Bayesian Posterior Predictive Probability Happiness (Articles)

Gabriela Rodríguez-Hernández, Galileo Domínguez-Zacarías, Carlos Juárez Lugo

Applied Mathematics Vol.7 No.8，May 20, 2016

DOI: 10.4236/am.2016.78068 2,213 Downloads 3,955 Views Citations
This article belongs to the Special Issue on Applied Probability
A Bayesian Inference Approach to Reduce Uncertainty in Magnetotelluric Inversion: A Synthetic Case Study (Articles)

Osborne Kachaje, Liangjun Yan, Zhou Zhang

Journal of Geoscience and Environment Protection Vol.7 No.2，February 18, 2019

DOI: 10.4236/gep.2019.72005 839 Downloads 1,741 Views Citations
Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy (Articles)

Nop Sopipan, Pairote Sattayatham, Bhusana Premanode

Journal of Mathematical Finance Vol.2 No.1，February 28, 2012

DOI: 10.4236/jmf.2012.21014 9,785 Downloads 22,776 Views Citations
Legacy of the Asian Currency Crisis: The Case of Korea (Articles)

Jangryoul Kim, Gieyoung Lim

Modern Economy Vol.3 No.8，December 31, 2012

DOI: 10.4236/me.2012.38118 4,076 Downloads 5,902 Views Citations
The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets (Articles)

Ata Assaf

Journal of Mathematical Finance Vol.7 No.2，May 31, 2017

DOI: 10.4236/jmf.2017.72026 2,056 Downloads 5,013 Views Citations
A Bayesian Approach for Stable Distributions: Some Computational Aspects (Articles)

Jorge A. Achcar, Sílvia R. C. Lopes, Josmar Mazucheli, Raquel R. Linhares

Open Journal of Statistics Vol.3 No.4，August 16, 2013

DOI: 10.4236/ojs.2013.34031 4,217 Downloads 6,384 Views Citations
A Regime Switching Model for the Term Structure of Credit Risk Spreads (Articles)

Seungmook Choi, Michael D. Marcozzi

Journal of Mathematical Finance Vol.5 No.1，February 13, 2015

DOI: 10.4236/jmf.2015.51005 3,321 Downloads 4,938 Views Citations
The Present Value Model Revisited: An Application to the Italian Price-Rent Ratio (Articles)

Jan R. Kim, Gieyoung Lim

Modern Economy Vol.6 No.6，June 26, 2015

DOI: 10.4236/me.2015.66069 3,667 Downloads 4,699 Views Citations
Goal Achieving Probabilities of Mean-Variance Strategies in a Market with Regime-Switching Volatility (Articles)

René Ferland, François Watier

Applied Mathematics Vol.13 No.7，July 19, 2022

DOI: 10.4236/am.2022.137038 142 Downloads 611 Views Citations
Dependence Structure of the US Dollar Index and Crude Oil Prices: A Regime-Switching Copula Approach (Articles)

Yuankui Wang, Xiaoquan Ding

Journal of Mathematical Finance Vol.14 No.2，May 15, 2024

DOI: 10.4236/jmf.2024.142009 105 Downloads 578 Views Citations
Comovement of Stock Markets—An Analysis by Nonlinear Cointegration* (Articles)

Kazumi Asako, Zhentao Liu

Open Journal of Social Sciences Vol.4 No.5，May 16, 2016

DOI: 10.4236/jss.2016.45010 1,667 Downloads 2,679 Views Citations
A Gibbs Sampling Algorithm to Estimate the Parameters of a Volatility Model: An Application to Ozone Data (Articles)

Verónica De Jesús Romo, Eliane R. Rodrigues, Guadalupe Tzintzun

Applied Mathematics Vol.3 No.12A，December 31, 2012

DOI: 10.4236/am.2012.312A299 5,387 Downloads 8,402 Views Citations
This article belongs to the Special Issue on Probability and Its Applications
Robust Linear Regression Models: Use of a Stable Distribution for the Response Data (Articles)

Jorge A. Achcar, Angela Achcar, Edson Zangiacomi Martinez

Open Journal of Statistics Vol.3 No.6，December 31, 2013

DOI: 10.4236/ojs.2013.36048 5,250 Downloads 7,623 Views Citations
Inverse Bayesian Estimation of Gravitational Mass Density in Galaxies from Missing Kinematic Data (Articles)

Dalia Chakrabarty, Prasenjit Saha

American Journal of Computational Mathematics Vol.4 No.1，January 22, 2014

DOI: 10.4236/ajcm.2014.41002 3,953 Downloads 5,899 Views Citations
This article belongs to the Special Issue on Advances in the Inverse Problems
Bayesian Estimation of Non-Gaussian Stochastic Volatility Models (Articles)

Asma Graja Elabed, Afif Masmoudi

Journal of Mathematical Finance Vol.4 No.2，February 19, 2014

DOI: 10.4236/jmf.2014.42009 5,050 Downloads 7,772 Views Citations

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