Long Memory of Financial Time Series and Hidden Markov Models with Time-Varying Parameters
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DOI: 10.1002/for.2447
Abstract: Hidden Markov models are often used to model daily returns and to infer the hidden state of financial markets. Previous studies have found that the estimated models change over time, but the implications of the… read more here.
Keywords: hidden markov; varying parameters; time varying; time ... See more keywords
Time–varying rational expectations models
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DOI: 10.1016/j.jedc.2019.103731
Abstract: This paper develops a comprehensive theory for rational expectations models with time–varying (random) coefficients. Based on the Multiplicative Ergodic Theorem it develops a “linear algebra” in terms of Lyapunov exponents, defined as the asymptotic growth… read more here.
Keywords: time; models time; expectations models; time varying ... See more keywords
Cellular automaton models for time-correlated random walks: derivation and analysis
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DOI: 10.1038/s41598-017-17317-x
Abstract: Many diffusion processes in nature and society were found to be anomalous, in the sense of being fundamentally different from conventional Brownian motion. An important example is the migration of biological cells, which exhibits non-trivial… read more here.
Keywords: correlated random; time; cellular automaton; time correlated ... See more keywords
Multivariate Count Data Models for Time Series Forecasting
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DOI: 10.3390/e23060718
Abstract: Count data appears in many research fields and exhibits certain features that make modeling difficult. Most popular approaches to modeling count data can be classified into observation and parameter-driven models. In this paper, we review… read more here.
Keywords: data models; model; models time; multivariate count ... See more keywords