A closed-form estimator for the Markov switching in mean model-Reference-Cited by-同舟云学术

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A closed-form estimator for the Markov switching in mean model

Published:2022-01 Issue: Volume:44 Page:102107
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Shi Yanlin^ORCID

Publisher

Elsevier BV

Subject

Finance

Reference10 articles.

1. Diagonal approximation of the Hessian by finite differences for unconstrained optimization;Andrei;J. Optim. Theory Appl.,2020

2. Time Series: Theory and Methods;Brockwell,1991

3. Discussions on the zero-drift GARCH model: evidence from an Markov regime-switching extension;Feng;Finance Res. Lett.,2020

4. Regime-switching herd behavior: novel evidence from the Chinese A-share market;Fu;Finance Res. Lett.,2021

5. A note on optimal portfolios under regime–switching;Haas;Finance Res. Lett.,2016

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Evolutionary Machine Learning in Finance;Handbook of Evolutionary Machine Learning;2023-11-02

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