Markov regime-switching
Sentiment-Augmented Asset Pricing in Bursa Malaysia: A Time-Varying Markov Regime-Switching Model
... time-varying Markov regime-switching framework to investigate the three risk premiums, conditioned by four different proxies for investor sentiment ...the regime switching dynamics ...
16
Bayesian Markov Regime Switching Models for Cointegration
... Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over ...Bayesian Markov switching method allows for ...
6
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 ...
17
Efficient estimation of Markov regime switching models: An application to electricity wholesale market prices
... with Markov switching. Due to the unob- servable switching mechanism, estimation of Markov regime-switching (MRS) models requires inferring not only the model parameters but also ...
22
Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy
... the Markov Regime Switching (MRS) model with ARCH models ...behind regime switching models is that as market conditions change, the factors that influence volatility also ...
11
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 ...
19
Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: Methodology
... a Markov regime-switching model wherein the jumps or discontinuities in a sovereign’s asset value occur at the instant where the transition of macroeconomic conditions takes ...with ...
15
Fast profits in a fasting month? A markov regime switching approach in search of ramadan effect on stock markets
... the Markov Regime Switching technique we found out that there is not enough evidence to conclude that Ramadan effect plays a significant part in providing investors with higher return during the ...
31
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 ...
8
Cutting EdgE Sovereign Credit Risk in a Hidden Markov Regime- Switching Framework. Part 2
... The data for South Africa includes CDS market quotes averaged on a given quarter for a total of 10 observations from March 2010 to June 2012. The estimated parameters calibrated across the entire term struc- ture on the ...
19
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 ...
12
Market collusion and regime analysis in the US gasoline market
... applied regime switching model on market data to identify any poten- tial disequilibrium in the ...the Markov regime switching model with two different regimes identifies there is a ...
14
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 ...
52
Hot and Cold Cycles for African Emerging Share IPO Market Evidence from Tunisia
... state switching models are a type of specification which allows for the transition of states as an intrinsic property of the econometric ...“Markov regime switching models are a type of ...
14
Does Energy Consumption Volatility Affect Real GDP Volatility? An Empirical Analysis for the UK
... the Markov switching ARCH model we find a significant regime switching in the behavior of both energy consumption and GDP ...the Markov regime-switching model show that ...
12
Are Tunisian and Egyptian Share IPO Markets Hot or Cold?
... Within the framework of this paper, we focused on clustering IPO phenomenon. Four set of variables measuring IPO activity are employed to detect a nd pr e di ct hot and cold cycles and their turning points for the ...
19
Pension plan solvency and extreme market movements : a regime switching approach
... multi-state Markov regime switching model significantly underestimate the likelihood of future pension plan deficits compared to an in- dependently stochastic interest rate ...
51
Regime switching behavior of volatilities of Islamic equities: evidence from Markov Switching GARCH models for some selected broad based indices
... their regime changing behavior, if any, is the main issue of concern in this ...namely, Markov regime switching GARCH (MSGARCH) is applied to some selected broad based Islamic equity indices ...
18
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 ...
13
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 ...
235