markov-switching-model

Here are 2 public repositories matching this topic...

jolly-io / Stock_Markets_Assymetric_Volatility_Spillover_Effects

I investigate the Asymmetric Volatility Spillover Effects within and across six major International stock markets. United States, Canada, France, Germany, Italy & Japan

stock-market markov-switching-model volatility-modeling garch-models autoregressive-models vector-autoregression-models

Updated Mar 22, 2024
R

jmuelleo / MSARM

Star

MSARM allows its user to estimate Markov-Switching AR models with arbitrary parameter switching utilizing the EM algorithm

package r markov-switching-model

Updated Jul 6, 2025
R

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