Topic: "markov-switching"
johncollinsai/markov-switching-multifractal
Python implementation of the Markov-Switching Multifractal model (MSM) of Calvet & Fisher (2004, 2008).
Language: Python - Size: 6.89 MB - Last synced at: 12 months ago - Pushed at: about 4 years ago - Stars: 26 - Forks: 9
bsvars/bsvarTVPs
Bayesian Estimation of Heteroskedastic Structural Vector Autoregressions with Markov-Switching and Time-Varying Identification of the Structural Matrix
Language: C++ - Size: 343 KB - Last synced at: about 1 year ago - Pushed at: over 1 year ago - Stars: 8 - Forks: 8
magerton/MarkovTransitionMatrices.jl
Create sparse transition matrices given state-space vectors, mean, variance
Language: Julia - Size: 56.6 KB - Last synced at: about 2 years ago - Pushed at: about 6 years ago - Stars: 0 - Forks: 2
