In this page, you will find codes related to some of my published papers. I also provide short presentations of the papers.
Code of volatility processes:
- The factorial hidden Markov volatility model [Matlab code] [paper]
- CP GARCH models using the evolutionary SMC algorithm [Matlab code] [paper]
- Infinite hidden Markov-switching GARCH models [Matlab code] [paper]
- Particle MCMC for estimating CP- and MS-GARCH models [C++ code] [paper]
Code for modelling the mean:
My papers in almost 180 seconds:
- Sparse change-point VAR models, submitted to Journal of Econometrics.
- Relevant parameter changes in structural break models, R&R in Journal of Econometrics.
- The factorial hidden Markov mean model, published in Economics Letters, 2018.
- The factorial hidden Markov volatility model, published in Journal of Business and Economic Statistics, 2018.
- Sparse Change-point HAR Models for Realized Variance, published in Econometric Reviews, 2018.
- The Evolutionary sequential monte carlo sampler, published in Econometrics, 2016.
- Infinite-State Markov-switching for Dynamic Volatility, published in Journal of Financial Econometrics, 2016.