Markov regime
A CONDITIONAL MARKOV REGIME SWITCHING MODEL TO STUDY MARGINS: APPLICATION TO THE FRENCH FUEL RETAIL MARKETS
... a regime-switching model that is built on mean-reverting and local volatility processes combined with two Markov regime-switching processes to understand the market structure of the French fuel ...
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Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: Methodology
... The regime-switching model allows for switching of the economy between “good” and “bad” ...the Markov regime-switching ...the regime-switching ...
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Bayesian Markov Regime Switching Models for Cointegration
... two-state Markov regime switching model is applied to the 05/23/06-11/30/07 GLD and GDX time ...the Markov regime switching model indicates that at most of the time, the two time series are ...
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Efficient estimation of Markov regime switching models: An application to electricity wholesale market prices
... Abstract: In this paper we discuss the calibration issues of models built on mean-reverting processes combined with Markov switching. Due to the unob- servable switching mechanism, estimation of Markov ...
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Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy
... In this paper, we forecast the volatility of gold prices using Markov Regime Switching GARCH (MRS-GARCH) mod- els. These models allow volatility to have different dynamics according to unobserved ...
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Oil Price Shocks and Housing Business Cycles in Iran: Markov Regime-Switching GARCH Model
... a Markov regime-switching GARCH model during the period 1982 ...return regime is more than volatility of returns at the moderate and high return ...return regime, 20 years in the low return ...
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Analysis of Volatility in Gold Prices with the Markov Regime-Switching Models
... geliştirilen Markov rejim değişim (MS-AR(p)) modeli mevcut konjonktür içerisinde serilerin ne kadar süreyle düşük getirili daralma sürecinde, ne kadar süreyle yüksek getirili genişleme sürecinde kalacağının ...
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Fractal Market Hypothesis and Markov Regime Switching Model: A Possible Synthesis and Integration
... In financial markets, the state transition processes in the form bull– bear market swings, have significant practical relevance (Wang, 2008). One model that can be used to determine the probability of a regime ...
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Cutting EdgE Sovereign Credit Risk in a Hidden Markov Regime- Switching Framework. Part 2
... calibrated regime- switching parameters extracted from the Markov-modulated model as inputs into the standard option pricing formula in the Merton Contingent Claim Approach, a sovereign asset value and ...
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Further applications of higher-order Markov chains and developments in regime-switching models
... underlying Markov process for these models o ff ers a simple way yet rich enough to describe the evolution of market variables with dynamic parameters and capture as well the memory property through the dependence ...
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Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models
... the regime heteroskedas- ticity in the price data of ...5-state Markov regime-switching model attained the highest goodness-of-fit scores in our comparative ...redundant regime (State ...
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Validity of Expectation Hypothesis: Information Content of Term Structure
... This study tests the validity of the Expectations Hypothesis (EH) in an emerging market context and the utility of the information content of the term structure to predict the interest rate changes. This study extends ...
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Pension plan solvency and extreme market movements : a regime switching approach
... To overcome the weaknesses of the traditional one-state lognormal model of portfolio returns we extend our analysis to incorporate extreme events into the analysis. There are a number of techniques available to do this, ...
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Regime Dependent Effects of Inflation Uncertainty on Real Growth: A Markov Switching Approach
... of regime shifts in inflation and output growth series, we examine the effects of inflation on output growth by implementing a Markov regime switching ...a Markov regime switching GARCH ...
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Are Tunisian and Egyptian Share IPO Markets Hot or Cold?
... This paper seeks to detect hot and cold IPO cycles in the Tunisian and Egyptian share market using a Markov regime switching model. Using a set of IPO activity measures (number of IPOs, level of ...
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Regime Switching Model on Hourly Electricity Spot Price Dynamics
... time-varying regime-switching model for price dynamics of hourly spot price of electricity on the electricity market is ...two-state Markov Regime Switching (MRS) model that gives weight to the ex- ...
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Pension plan solvency and extreme market movements: : A regime switching approach
... and Markov regime switching ...preferred Markov models primarily for prag- matic ...of regime changes is natural and intuitive’ and, as we will show below, the different states have a clear ...
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Hot and Cold Cycles for African Emerging Share IPO Market Evidence from Tunisia
... market regime evolves when the investors begin experiencing extremely high initial returns and their anticipation about the future interest rate provide an indication about entrepreneur's/manager's willingness to ...
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The roles of the public sector and the private sector in the economy of North Cyprus: Empirical evidence from Markov Switching
... with regime switching, for instant, Fong and See (2002) examined the temporal behaviour of the volatility of daily returns on crude oil futures using a generalised regime switching ...that regime ...
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Two Stage Markov Switching Model: Identifying the Indonesian Rupiah Per US Dollar Turning Points Post 1997 Financial Crisis
... appreciation regime, with the aftermath of the Bank Indonesia adoption of August 2005 depreciation policy, the Indonesia rupiah per US dollar exchange rate was observed to be stable (see Panel 1 in ...
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