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markov-garch
- 马尔科夫区制转移的GARCH模型,能够更好地刻画金融序列区制转移的问题-Markov switching garch
MSVAR CODE
- 使用马尔科夫区制转换模型计算区制,使用ox软件(regime switching model)
m_Files_tvtp_20121113
- 利用时变的转移概率,对传统MS模型(马尔科夫区制转移模型)做出改进,进行估计。(By using the transfer probability with time-varying, the traditional MS model (Markov regiem transfer model) is improved and estimated.)
OX_MSVAR
- Ox软件的马尔科夫区制转移模型的安装说明和相关代码(Installation instructions and related codes for the Markov zone transfer model of Ox software)