Markov Regime Switching Model
Sentiment-Augmented Asset Pricing in Bursa Malaysia: A Time-Varying Markov Regime-Switching Model
... three-factor model is re-augmented within a time-varying Markov regime-switching framework to investigate the three risk premiums, conditioned by four different proxies for investor sentiment ...
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Fractal Market Hypothesis and Markov Regime Switching Model: A Possible Synthesis and Integration
... The small cap index on the other hand has an H of 0.66 while the Dow Jones has an H of 0.62 signifying persistence in the time series therefore there is a high probability that a data point in future will be like a data ...
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Early Warning System in ASEAN Countries Using Capital Market Index Return: Modified Markov Regime Switching Model
... Using the stock index from 5 ASEAN countries, which is Singapore, Indonesia, Malaysia, Thailand and Philippines, this paper develops EWS as an anticipatory model of economic crisis event. The preference of stock ...
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A CONDITIONAL MARKOV REGIME SWITCHING MODEL TO STUDY MARGINS: APPLICATION TO THE FRENCH FUEL RETAIL MARKETS
... As predicted in supergame models that study cartels (e.g., Haltiwanger and Harrington, [1991]), when the demand is increasing, the margins respond positively because the near-term profits are weighed more heavily than ...
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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 ...
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Hot and Cold Cycles for African Emerging Share IPO Market Evidence from Tunisia
... This paper seeks to detect hot and cold IPO cycles in the Tunisian share market using a Markov regime switching model. Using a set of IPO activity measures (number of IPOs, level of ...
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Validity of Expectation Hypothesis: Information Content of Term Structure
... univariate Markov regime switching model was employed to analyze the data distribution properties and characteristics of yield rates across various ...
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Are Tunisian and Egyptian Share IPO Markets Hot or Cold?
... This paper enriches the international literature relating to hot and cold cycles by studying Tunisian and Egyptian share IPO markets which constitutes a too little explored context. We seek to detect turning points ...
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Bayesian Markov Regime Switching Models for Cointegration
... our model and decision making rules from those obtained using all historical data and traditional rules, which we believe are more reasonable ...our Markov regime-switching model simply ...
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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 ...2-state model that ...
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Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: Methodology
... structural model underestimates the actual probability of default [Tarashev (2005), Leland (2004), Boral et ...jump-diffusion model or a Markov regime-switching model wherein the ...
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Efficient estimation of Markov regime switching models: An application to electricity wholesale market prices
... for model acronyms and definitions see Section 4) observations yields satisfactory results, as the devia- tion does not exceed ...IMR-G model the results are very ...this model are popular in the ...
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Analysis of Volatility in Gold Prices with the Markov Regime-Switching Models
... Çalışma, BİST altın getiri serilerinde rejim kalıcılığının yüksek olduğunu ortaya koymaktadır. Bu bağlamda yatırımcı, altın getiri serilerinin cari dönemde hangi rejimde olduğunu bilmesi halinde, bu rejimde kalma ...
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Oil Price Shocks and Housing Business Cycles in Iran: Markov Regime-Switching GARCH Model
... APM model, regardless of portfolio selected, several factors affect the return of housing assets that in this study, the risk and shocks of macroeconomic factors including money supply, private sector investment, ...
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Sudden Changes In Volatility In European Stock Markets
... a Markov Regime Switching EGARCH on Hong Kong stock ...of regime shifts in conditional volatility as well as significant volatility asymmetry in high volatility ...applied Markov ...
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Real effects of inflation uncertainty in the US
... follow Markov switching ARCH ...a Markov switching model that explains the behavior of ...on regime lowers real economic ...parameter model of Kim (1993) with ...
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Sufficient and necessary conditions of stochastic permanence and extinction for stochastic logistic populations under regime switching
... under regime switch- ing controlled by a Markov chain is either stochastically permanent or extinctive, and we obtain the sufficient and necessary conditions for stochastic permanence and extinction under ...
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Regime Dependent Effects of Inflation Uncertainty on Real Growth: A Markov Switching Approach
... extended model where we estimate inflation and growth rate series simultaneously as we consider the possibility of endogeneity that may emerge between inflation, inflation uncertainty and output ...this ...
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Higher moments of MSVARs and the business cycle
... MSI(3)-AR(1) model. In this estimation the intercept and variance parameter are regime dependent, while the autoregressive parameter is constant across ...the Markov-switching model is ...
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Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy
... the Markov Regime Switch- ing GARCH-N (MRS-GARCH-N) model and the GJR-N model give us higher cumulative returns than the other models when we use m = ...
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