Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Marginal Likelihood For Markov Switching And Change Point Garch Models full books in PDF, epub, and Kindle. Read online Marginal Likelihood For Markov Switching And Change Point Garch Models ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Luc Bauwens
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (786 download)
Download or read book Marginal Likelihood for Markov-switching and Change-point GARCH Models written by Luc Bauwens and published by . This book was released on 2011 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maciej Augustyniak
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book Maximum Likelihood Estimation of the Markov-Switching GARCH Model written by Maciej Augustyniak and published by . This book was released on 2016 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Markov-switching GARCH model offers rich dynamics to model financial data. Estimating this path dependent model is a challenging task because exact computation of the likelihood is infeasible in practice. This difficulty led to estimation procedures either based on a simplification of the model or not dependent on the likelihood. There is no method available to obtain the maximum likelihood estimator without resorting to a modification of the model. A novel approach is developed based on both the Monte Carlo expectation-maximization algorithm and importance sampling to calculate the maximum likelihood estimator and asymptotic variance-covariance matrix of the Markov-switching GARCH model. Practical implementation of the proposed algorithm is discussed and its effectiveness is demonstrated in simulation and empirical studies.
Author : Maciej Augustyniak
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
Download or read book Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure written by Maciej Augustyniak and published by . This book was released on 2017 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Markov-switching GARCH model allows for a GARCH structure with time-varying parameters. This flexibility is unfortunately undermined by a path dependence problem which complicates the parameter estimation process. This problem led to the development of computationally intensive estimation methods and to simpler techniques based on an approximation of the model, known as collapsing procedures. This article develops an original algorithm to conduct maximum likelihood inference in the Markov-switching GARCH model, generalizing and improving previously proposed collapsing approaches. A new relationship between particle filtering and collapsing procedures is established which reveals that this algorithm corresponds to a deterministic particle filter. Simulation and empirical studies show that the proposed method allows for a fast and accurate estimation of the model.
Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
ISBN 13 : 3030541088
Total Pages : 465 pages
Book Rating : 4.0/5 (35 download)
Download or read book Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics written by Burcu Adıgüzel Mercangöz and published by Springer Nature. This book was released on 2021-02-17 with total page 465 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.
Author : Luc Bauwens
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (837 download)
Download or read book On Marginal Likelihood Computation in Change-point Models written by Luc Bauwens and published by . This book was released on 2009 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marco Corazza
Publisher : Springer
ISBN 13 : 3319502344
Total Pages : 170 pages
Book Rating : 4.3/5 (195 download)
Download or read book Mathematical and Statistical Methods for Actuarial Sciences and Finance written by Marco Corazza and published by Springer. This book was released on 2017-12-28 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume gathers selected peer-reviewed papers presented at the international conference "MAF 2016 – Mathematical and Statistical Methods for Actuarial Sciences and Finance”, held in Paris (France) at the Université Paris-Dauphine from March 30 to April 1, 2016. The contributions highlight new ideas on mathematical and statistical methods in actuarial sciences and finance. The cooperation between mathematicians and statisticians working in insurance and finance is a very fruitful field, one that yields unique theoretical models and practical applications, as well as new insights in the discussion of problems of national and international interest. This volume is addressed to academicians, researchers, Ph.D. students and professionals.
Author : Nuria Oliver
Publisher : Springer Nature
ISBN 13 : 3030864863
Total Pages : 838 pages
Book Rating : 4.0/5 (38 download)
Download or read book Machine Learning and Knowledge Discovery in Databases. Research Track written by Nuria Oliver and published by Springer Nature. This book was released on 2021-09-09 with total page 838 pages. Available in PDF, EPUB and Kindle. Book excerpt: The multi-volume set LNAI 12975 until 12979 constitutes the refereed proceedings of the European Conference on Machine Learning and Knowledge Discovery in Databases, ECML PKDD 2021, which was held during September 13-17, 2021. The conference was originally planned to take place in Bilbao, Spain, but changed to an online event due to the COVID-19 pandemic. The 210 full papers presented in these proceedings were carefully reviewed and selected from a total of 869 submissions. The volumes are organized in topical sections as follows: Research Track: Part I: Online learning; reinforcement learning; time series, streams, and sequence models; transfer and multi-task learning; semi-supervised and few-shot learning; learning algorithms and applications. Part II: Generative models; algorithms and learning theory; graphs and networks; interpretation, explainability, transparency, safety. Part III: Generative models; search and optimization; supervised learning; text mining and natural language processing; image processing, computer vision and visual analytics. Applied Data Science Track: Part IV: Anomaly detection and malware; spatio-temporal data; e-commerce and finance; healthcare and medical applications (including Covid); mobility and transportation. Part V: Automating machine learning, optimization, and feature engineering; machine learning based simulations and knowledge discovery; recommender systems and behavior modeling; natural language processing; remote sensing, image and video processing; social media.
Author : David Ardia
Publisher : Springer Science & Business Media
ISBN 13 : 3540786570
Total Pages : 206 pages
Book Rating : 4.5/5 (47 download)
Download or read book Financial Risk Management with Bayesian Estimation of GARCH Models written by David Ardia and published by Springer Science & Business Media. This book was released on 2008-05-08 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.
Author : Sylvia Fruhwirth-Schnatter
Publisher : CRC Press
ISBN 13 : 0429508247
Total Pages : 522 pages
Book Rating : 4.4/5 (295 download)
Download or read book Handbook of Mixture Analysis written by Sylvia Fruhwirth-Schnatter and published by CRC Press. This book was released on 2019-01-04 with total page 522 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mixture models have been around for over 150 years, and they are found in many branches of statistical modelling, as a versatile and multifaceted tool. They can be applied to a wide range of data: univariate or multivariate, continuous or categorical, cross-sectional, time series, networks, and much more. Mixture analysis is a very active research topic in statistics and machine learning, with new developments in methodology and applications taking place all the time. The Handbook of Mixture Analysis is a very timely publication, presenting a broad overview of the methods and applications of this important field of research. It covers a wide array of topics, including the EM algorithm, Bayesian mixture models, model-based clustering, high-dimensional data, hidden Markov models, and applications in finance, genomics, and astronomy. Features: Provides a comprehensive overview of the methods and applications of mixture modelling and analysis Divided into three parts: Foundations and Methods; Mixture Modelling and Extensions; and Selected Applications Contains many worked examples using real data, together with computational implementation, to illustrate the methods described Includes contributions from the leading researchers in the field The Handbook of Mixture Analysis is targeted at graduate students and young researchers new to the field. It will also be an important reference for anyone working in this field, whether they are developing new methodology, or applying the models to real scientific problems.
Author : Olivier Cappé
Publisher : Springer Science & Business Media
ISBN 13 : 0387289828
Total Pages : 656 pages
Book Rating : 4.3/5 (872 download)
Download or read book Inference in Hidden Markov Models written by Olivier Cappé and published by Springer Science & Business Media. This book was released on 2006-04-12 with total page 656 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a comprehensive treatment of inference for hidden Markov models, including both algorithms and statistical theory. Topics range from filtering and smoothing of the hidden Markov chain to parameter estimation, Bayesian methods and estimation of the number of states. In a unified way the book covers both models with finite state spaces and models with continuous state spaces (also called state-space models) requiring approximate simulation-based algorithms that are also described in detail. Many examples illustrate the algorithms and theory. This book builds on recent developments to present a self-contained view.
Author : Lung-Fei Lee
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (318 download)
Download or read book A Basic Recursion for Markov Switching Models written by Lung-Fei Lee and published by . This book was released on 1995 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Walter Zucchini
Publisher : CRC Press
ISBN 13 : 1482253844
Total Pages : 370 pages
Book Rating : 4.4/5 (822 download)
Download or read book Hidden Markov Models for Time Series written by Walter Zucchini and published by CRC Press. This book was released on 2017-12-19 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses. After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations. The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations. Features Presents an accessible overview of HMMs Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology Includes numerous theoretical and programming exercises Provides most of the analysed data sets online New to the second edition A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process New case studies on animal movement, rainfall occurrence and capture-recapture data
Author : Monica Billio
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (13 download)
Download or read book Markov Switching Models for Volatility written by Monica Billio and published by . This book was released on 2013 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper is devoted to show duality in the estimation of Markov Switching (MS) processes for volatility. It is well-known that MS-GARCH models suffer of path dependence which makes the estimation step unfeasible with usual Maximum Likelihood procedure. However, by rewriting the MS-GARCH model in a suitable linear State Space representation, we are able to give a unique framework to reconcile the estimation obtained by the Kalman Filter and with some auxiliary models proposed in the literature. Reasoning in the same way, we present a linear Filter for MS-Stochastic Volatility (MS-SV) models on which different conditioning sets yield more flexibility in the estimation. Estimation on simulated data and on short-term interest rates shows the feasibility of the proposed approach.
Author : Luc Bauwens
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (13 download)
Download or read book On Marginal Likelihood Computation in Change-Point Models written by Luc Bauwens and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Change-point models are useful for modeling time series subject to structural breaks. For interpretation and forecasting, it is essential to estimate correctly the number of change points in this class of models. In Bayesian inference, the number of change points is typically chosen by the marginal likelihood criterion, computed by Chib's method. This method requires to select a value in the parameter space at which the computation is performed. Bayesian inference for a change-point dynamic regression model and the computation of its marginal likelihood are explained. Motivated by results from three empirical illustrations, a simulation study shows that Chib's method is robust with respect to the choice of the parameter value used in the computations, among posterior mean, mode and quartiles. However, taking into account the precision of the marginal likelihood estimator, the overall recommendation is to use the posterior mode or median. Furthermore, the performance of the Bayesian information criterion, which is based on maximum likelihood estimates, in selecting the correct model is comparable to that of the marginal likelihood.
Author : Markus Haas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book A New Approach to Markov-Switching GARCH Models written by Markus Haas and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of Markov-switching models to capture the volatility dynamics of financial time series has grown considerably during past years, in part because they give rise to a plausible interpretation of nonlinearities. Nevertheless, GARCH-type models remain ubiquitous in order to allow for nonlinearities associated with time-varying volatility. Existing methods of combining the two approaches are unsatisfactory, as they either suffer from severe estimation difficulties or else their dynamic properties are not well understood. In this article we present a new Markov-switching GARCH model that overcomes both of these problems. Dynamic properties are derived and their implications for the volatility process discussed. We argue that the disaggregation of the variance process offered by the new model is more plausible than in the existing variants. The approach is illustrated with several exchange rate return series. The results suggest that a promising volatility model is an independent switching GARCH process with a possibly skewed conditional mixture density.
Author : María Ferrer Fernández
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Modelling Volatility with Markov-switching GARCH Models written by María Ferrer Fernández and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tata Subba Rao
Publisher : Elsevier
ISBN 13 : 0444538585
Total Pages : 778 pages
Book Rating : 4.4/5 (445 download)
Download or read book Time Series Analysis: Methods and Applications written by Tata Subba Rao and published by Elsevier. This book was released on 2012-06-26 with total page 778 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Handbook of Statistics' is a series of self-contained reference books. Each volume is devoted to a particular topic in statistics, with volume 30 dealing with time series.
