most citedA gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder

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stat.ME2023

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…