There are 1 repository under markov-switching-model topic.
Multivariate Markov-Switching Models Regressions Framework
Python implementation of Markov Switching Model using Bayesian inference (Gibbs Sampling) by Lim et al (2020)
I investigate the Asymmetric Volatility Spillover Effects within and across six major International stock markets. United States, Canada, France, Germany, Italy & Japan
Likelihood ratio based tests for regime switching
Information filter/smoother and markov switching models implemented in Scala
This is a course project Inspecting the cryptocurrency and the stock through markov switching process.
Study of exchange rate volatility and regime switching behaviour of Kenyan currency from January 2010 to June 2021