9 citations · 9 across the 1 of their papers we have counts for
3 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…