A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS
By Edoardo Otranto, Giampiero M. Gallo. 2002
51 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/37867669668db5f7b7204bb202c8f04a3a7b5cea
How researchers see this paper
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In Economics and Econometrics
- Edoardo Otranto
- Giampiero M. Gallo
- N. Shephard
- P. R. Hansen
- Asger Lunde
- Kevin Sheppard
- André Lucas
- Maria Pacurar
In Finance
- Edoardo Otranto
- Giampiero M. Gallo
- N. Shephard
- P. R. Hansen
- Asger Lunde
- Kevin Sheppard
- André Lucas
- Maria Pacurar
Citations in the corpus
- Volatility transmission across markets: a Multichain Markov Switching model (2007, methodology): “In addition, let us suppose that the states s1t and s2t, 1We use the same priors of Otranto and Gallo (2002), with the hyperparameter A, regulating the prior probabilities of the number of regimes, equal 0.15. conditional on (s1t−1, s2t−1), are independent, so that: Pr [s1t, s2t|s1t−1, s2t−1] =…”