Gibbs sampling approach to regime switching analysis of financial time series

By Luca Di Persio, Matteo Frigo. 2016

29 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. O. Honchar
2. Luca Di Persio

In Finance

1. O. Honchar
2. Luca Di Persio

Citations in the corpus

• Recurrent Neural Networks Approach to the Financial Forecast of Google Assets (2017, neutral): “It is worth to mention that other, more classical methods can be used to model and forecast time series, as in the case of, e.g., ARMA, ARIMA, GARCH, etc., or using stochastic filter, such the Kalman filter, and switching models approach, as in, e.g., [3, 4].”
• Artificial Neural Networks architectures for stock price prediction: comparisons and applications (2016, background): “, [12, 13, 14] and references therein, or by exploiting stochastic calculus techniques, see, e.”