Markov switching
Using Markov switching models to infer dry and rainy periods from telecommunication microwave link signals
... The results for the second dataset are shown in Table 3. As for the first dataset, the classification performances is illus- trated in Fig. 4, where the results are plotted for a 11-days subset from 27 March 2011 to 7 ...
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Improving Markov switching models using realized variance
... the Markov switching model has became one of the standard econometric tools in studying various financial and economic data se- ...first-order Markov chain that directs an observable data ...
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Identifying regime shifts in Indian stock market: A Markov switching approach
... the markov switching model, one has to decide, (i) the number of regimes, (ii) model specification (changing means, variance and AR dynamics) and (iii) lag order of the AR terms (not necessarily in this ...
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Markov switching Asset Allocation: Do Profitable Strategies Exist?
... In an out-of-sample context with a focus on Viterbi-based strategies, the existence of a profitable Markov-switching based asset allocation strategy can be confirmed. Employing a robust technique to reduce ...
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The effects of different parameterizations of Markov switching in a CIR model of bond pricing
... simpler Markov-switching specifications produce better bond prices than those obtained using models where all the parameters are allowed to switch (and models with no regime switching); (ii) the ...
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Performance of Markov Switching GARCH Model Forecasting Inflation Uncertainty
... The top panel in Figure 3 displays the time series plots of the smoothed, filter and ex ante probabilities that the inflation rate is in regime 1 at time t as estimated by the MS- GARCH-N model. MS-GARCH-t model also ...
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Estimating a Taylor Rule with Markov Switching Regimes for Switzerland
... VAR model finds an aggressive and a less aggressive regime. The former is char- acterized by an aggressive reaction to the state of the economy and is related to periods of low output growth. Kuzin (2006) applies a ...
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Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model
... Departure from normality and parameter estimation risk are two major barriers to the implementation of the Markowitz portfolio selection. This pa- per attempts to addresses the two issues in a unified Bayesian framework, ...
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Markov switching monetary policy in a two country DSGE model
... regime switching mone- tary policy by looking at the change in volatilities of inflation and output ...ing Markov-switching monetary policy by simply looking at the changes in volatilities of ...
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Markov Switching Models with state dependent time varying transition probabilities
... This paper proposes a model which allows for discrete stochastic breaks in the time- varying transition probabilities of Markov-switching models with autoregressive dy- namics. An extensive simulation study ...
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Business cycle asymmetries: characterisation and testing based on Markov switching autoregressions
... We propose testing for business cycle asymmetries in Markov-switching autoregressive (MS-AR) models. We derive the parametric restrictions on MS-AR models that rule out types of asymmetries such as ...
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Exchange Market Pressure in Indonesia: A Univariate Markov Switching Analysis
... univariate Markov Switching autoregressive ...2-state Markov switching AR(6) model of EMPI outperforms a linear autoregressive model in explaining the behavior of ...
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Option Pricing with Markov Switching in Uncertainty Markets
... In this paper, we present a stock model with Markov switching in the uncertainty markets, where the parameters of drift and volatility change according to the states of a Markov process. To price the ...
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A Markov switching vector equilibrium correction model of the UK labour market
... As an alternative to this deterministic approach to structural change and regime shifts, in this pa- per we develop a small model of the UK labour market using a multivariate Markov-switching vector ...
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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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Markov switching generalized additive models
... the Markov-switching Poisson regression model discussed in Wang and Puterman ...hidden Markov model (HMM) machinery (Zucchini and MacDonald 2009), in particular the forward algorithm, which allows ...
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Testing CAPM using Markov switching model: the case of coal firms
... 7 outperforms the non-regime dependent model, the world real estate portfolio and equally- weighted portfolio from risk-adjusted performance perspective. Li (2007) uses Markov- switching model to identify ...
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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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Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models
... regime switching along with conditional heteroskedasticity, would allow for the capture of changes in the factors that affect volatility and overall reflect the changing na- ture of market ...-state Markov ...
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