Topic: "markov-switching-model"
yudai-il/Multivariate-Markov-Switching-Regressions
Multivariate Markov-Switching Models Regressions Framework
Language: Jupyter Notebook - Size: 479 KB - Last synced at: over 2 years ago - Pushed at: about 5 years ago - Stars: 5 - Forks: 1
jolly-io/Stock_Markets_Assymetric_Volatility_Spillover_Effects
I investigate the Asymmetric Volatility Spillover Effects within and across six major International stock markets. United States, Canada, France, Germany, Italy & Japan
Language: R - Size: 2.31 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 2 - Forks: 0
ljyflores/bayes-for-markov-switching
Python implementation of Markov Switching Model using Bayesian inference (Gibbs Sampling) by Lim et al (2020)
Language: Jupyter Notebook - Size: 169 KB - Last synced at: about 2 years ago - Pushed at: over 2 years ago - Stars: 1 - Forks: 0
Kaylieo/Monte-Carlo-for-Crude-Oil-Stocks
A Monte Carlo simulation project for financial risk analysis of Crude Oil Stocks.
Language: Python - Size: 8.38 MB - Last synced at: 19 days ago - Pushed at: 19 days ago - Stars: 0 - Forks: 0
CharlieNestor/markov_switching_model_stocks
This projects aims to implement a Markov Switching Model for stock returns using the Bayesian framework.
Language: Jupyter Notebook - Size: 6.9 MB - Last synced at: about 1 month ago - Pushed at: about 1 month ago - Stars: 0 - Forks: 0
Carlos-CaMa/Probability-of-recession-Markov-switching
This repo estimates the probability of being in a recession in the US, using macro data downloaded programatically from the FRED.
Language: R - Size: 7.81 KB - Last synced at: 4 months ago - Pushed at: 4 months ago - Stars: 0 - Forks: 0
PLagat/Financial-Econometrics
Study of exchange rate volatility and regime switching behaviour of Kenyan currency from January 2010 to June 2021
Language: Stata - Size: 4.88 KB - Last synced at: over 1 year ago - Pushed at: almost 3 years ago - Stars: 0 - Forks: 0
MerlinHeidemanns/rstanmsm
rstanmsm: Markov-Switching Models using Stan
Language: C++ - Size: 53.8 MB - Last synced at: almost 2 years ago - Pushed at: over 5 years ago - Stars: 0 - Forks: 0
