I am looking for a comprehensive list of regime switching/change point models/techniques which can be used to model different regimes / change points in financial time series. What I found so far are:

Regime Switching:

  • Hidden Markovian Regime Switching (HMRS)
  • Interactive Hidden Markovian Regime Switching (IHMRS)
  • Self Exciting Threeshold Autoregressive (SETAR)
  • ....

Change Point Analysis:

  • Bayesian Change Point Detection
  • ...

What other techniques are out there?

PS: I will try to keep the question updated so that it turns into a wiki entry.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.