i*****r
发帖数: 1302 | 1 你们能看明白hamilton那篇文章然后把那程序自己写出来么? 我看到那么多公式就头疼
这个模型主要是干啥用的? 是time series哪方面的switching? | g***S
发帖数: 20 | 2 I know QRM's Regime Shift model, not sure it is same as regime switching or
not.
Basically let r1 and r2 be two short rate limit
when simulate short rate,
when r
when r>r2, use BK model
when between use square root model.
【在 i*****r 的大作中提到】
: 你们能看明白hamilton那篇文章然后把那程序自己写出来么? 我看到那么多公式就头疼
: 这个模型主要是干啥用的? 是time series哪方面的switching?
| m*********s
发帖数: 20 | 3 I tried Matlab fpr Hamilon's paper. It is quite fair. If you can't
understand even econometrics level "formula", how would you expect yourself
to be a quant? | m*********s
发帖数: 20 | 4 I tried Matlab fpr Hamilon's paper. It is quite fair. If you can't
understand even econometrics level "formula", how would you expect yourself
to be a quant? |
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