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06/27/2023
Testing for asymmetric dependency structures in financial markets: regime-switching and local Gaussian correlation
This paper examines asymmetric and time-varying dependency structures be...
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02/21/2023
Computational issues in parameter estimation for hidden Markov models with Template Model Builder
A popular way to estimate the parameters of a hidden Markov model (HMM) ...
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05/07/2022
A gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder
A very common way to estimate the parameters of a hidden Markov model (H...
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04/24/2018