Markov-switching
Improving Markov switching models using realized variance
... This paper is not the first to exploit the information content of RV to improve model estimation. Takahashi et al. (2009) propose a stochastic volatility model in which unobserved log-volatility affect both RV and the ...
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Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model
... a Markov law of motion, the mixture be- comes a hidden Markov model (HMM) initially proposed by Baum and his colleagues (Baum and Petrie, 1966; Baum and Eagon, 1967; Baum et ...the Markov (regime) ...
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Option Pricing with Markov Switching in Uncertainty Markets
... with Markov switching in the uncertainty markets is proposed to capture the fluctu- ations related to the business ...states Markov switching but also to general model with finite states ...
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Indirect estimation of Markov switching models with endogenous switching
... . Markov Switching models have been successfully applied to many economic ...a Markov Chain and that the state is an exogenous discrete unobserved ...endogenous switching, hypothesizing a ...
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Implied distributions in multiple change point problems
... This paper investigates some exact change point distributions when fitting general finite state Hidden Markov models (HMMs), including Markov switching models. Change point prob- lems are important ...
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Inflation Transmission in the EMU: A Markov Switching VECM Analysis
... univariate Markov-switching model, we obtain evidence for an almost simultaneous regime change in all five countries during the ...a Markov-switching vector error correction model (MS-VECM) we ...
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Business cycle asymmetries: characterisation and testing based on Markov switching autoregressions
... Sharpness or turning point asymmetry, as introduced by McQueen and Thorley (1993), would result if, e.g., troughs were sharp and peaks more rounded. They present two tests. The first is based on the mag- nitude of growth ...
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An Infinite Hidden Markov Model for Short term Interest Rates
... Models of the term structure of interest rates are important in finance. They are used to price contingent claims, manage financial risk and assess the cost of capital. In most models the short-rate plays a very ...
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Non linearities and unit roots in G7 macroeconomic variables
... In this paper we have presented new evidence on the unit root hypothesis for a large macroeconomic dataset of 249 macroeconomic series of the G7 using linear and three different non-linear unit roots tests. These are ...
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Conditional Markov chain and its application in economic time series analysis
... Hamilton’s (1989) seminal application of a Markov switching model to U.S. GDP growth data successfully captured its cyclical behavior, but at that time, the changing volatility was not a noteworthy feature ...
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Performance of Markov Switching GARCH Model Forecasting Inflation Uncertainty
... The main objective of this paper is to examine the forecasting performance of a two- regime MS-GARCH model with respect to inflation uncertainty in U.S over the period Jan- uary 1971- March 2015 using multiple ...
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Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach
... This paper compares the different dynamics of the simple sum monetary aggregates and the Divisia monetary aggregate indexes over time, over the business cycle, and across high and low inflation and interest rate phases. ...
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Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach
... This paper compares the different dynamics of simple sum monetary aggregates and the Divisia indexes over time, over the business cycle, and across high and low inflation and interest rate phases. Although the ...
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The effects of different parameterizations of Markov switching in a CIR model of bond pricing
... Short and long-term interest rates have been characterized as a stochastic process subject to regime switches [see, for example, Hamilton (1988), Sola and Driffill (1994), Garcia and Perron (1996), Gray (1996), Dahlquist ...
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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 ...with Markov-switching het- eroscedasticity for the ...
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A Markov switching vector equilibrium correction model of the UK labour market
... Another important characteristic of our MS-VECM is that the contemporaneous covariance matrix of the residuals is also regime switching, and substantial differences across regimes emerge. Hence, standard impulse ...
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Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models
... regime switching models were able to capture sudden changes in the price dynamics of financial assets, where such changes arose as a result of the aforementioned inherent stylised char- ...regime switching ...
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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 ...
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Output collapse, growth and volatility in Sub Saharan Africa: a regime switching approach
... two-regime Markov-switching model with time-varying transitional properties is ...the Markov-switching model is widely used as it allows for non-linearities in the economic growth ...the ...
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Switching Markov Gaussian models for dynamic power system inertia estimation
... The above analysis shows that the average sample selection approach and the encoding of Markov Chain are two effective means to reduce the estimation errors. However, the performances using averaged slice sample ...
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