搜索资源列表
MS_Regress_FEX
- MS_Regress - The Matlab Package for Markov Regime Switching Models-MS_Regress- The Matlab Package for Markov Regime Switching Models
mrsgarchestfor_con_all
- 马尔科夫状态转换模型的matlab预测程序-markov regime switching model code on matlab
IMM
- 交互多模型算法是一种用模型集描述系统各个时刻的状态,相对于单模型系统有很大的适应性,其模型集之间的切换是一个马尔科夫过程,按照状态转移概率矩阵进行切换的-Interacting multiple model algorithm is a model used to describe the system sets the status of each moment, as opposed to a single model system has great flexibility, the mo
Lab_exercise_420130522011924
- Bocconi University Exercises in Financial Econometrics for Markov-Switching Models and Financial Markets
Algoritmo-EM-Expo
- Process to do Markov Switching AR
m_Files_tvtp_20121113
- 时变转化概率马尔科夫区制转向量自回归模型- time varing markov switching vector auto regression
MS_Regressmarkov
- 马尔科夫机制转换模型代码,可以用于货币政策传导机制的拟合与预测.-Markov state switching models are a type of specication which allows for the transition of states as an intrinsic property of the econometric model. Such type of statistical representations are well known and utilis
MSM_MLE_1v01
- 基于马尔科夫转换多重分形预测模型,MSM模型具有较少的参数和无限的频率。该模型通过使用机制转换(regime switching)技术,能较好的捕捉金融时间序列波动中隐藏的离群值、时间标度以及长程相关性特征。Calvet和Fisher使用MSM模型对四种汇率序列进行预测,他们发现MSM模型的长期预测性能优于GARCH、MS-GARCH(Markov switching GARCH)、FIGARCH等模型,MSM模型适用于具有显著异常值和长程记忆性的真实波动序列的预测。(the Markov-Sw
MS_Regress_FEX_1.07
- markov switching var matlab code
MSVAR_0.0
- markov switching var 2 matlab
DDMSVAR03
- dd markov switching var code