9 citations · 11 across the 4 of their papers we have counts for
4 papers
Testing for asymmetric dependency structures in financial markets: regime-switching and local Gaussian correlation
Kristian Gundersen, Timothée Bacri, Jan Bulla +2
This paper examines asymmetric and time-varying dependency structures between financial returns, using a novel approach consisting of a combination of regime-switching models and t…
Computational issues in parameter estimation for hidden Markov models with Template Model Builder
Timothée Bacri, Geir D. Berentsen, Jan Bulla +1
A popular way to estimate the parameters of a hidden Markov model (HMM) is direct numerical maximization (DNM) of the (log-)likelihood function. The advantages of employing the TMB…
A gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder
Timothée Bacri, Geir D. Berentsen, Jan Bulla +1
A very common way to estimate the parameters of a hidden Markov model (HMM) is the relatively straightforward computation of maximum likelihood (ML) estimates. For this task, most…
Modelling corporate defaults: A Markov-switching Poisson log-linear autoregressive model
Geir D. Berentsen, Jan Bulla, Antonello Maruotti +1
This article extends the autoregressive count time series model class by allowing for a model with regimes, that is, some of the parameters in the model depend on the state of an u…