Markov-switching model
Disparity in Performance of the Czech Construction Sector: Evidence from the Markov‑Switching Model
... two‑state Markov‑Switching model to monthly construction sector output in the Czech Republic after necessary adjustments and transformation to natural logs of gross ...the ...
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Testing CAPM using Markov switching model: the case of coal firms
... dependent model, the world real estate portfolio and equally- weighted portfolio from risk-adjusted performance ...uses Markov- switching model to identify the volatility state of G7 (Canada, ...
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Testing the international capital asset pricing model with Markov switching model in emerging markets
... Concordantly, the purpose of this article is to examine the relationship between investable emerging markets and world index and to evaluate the risk of these countries. Some findings in finance literature point out that ...
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Forecasts with single equation Markov switching model: an application to the gross domestic product of Latvia
... The results are summarized in four tables. Tables 1 and 2 show the results about models imposed on once regularly differenced series, while Tables 3 and 4 - on twice regularly differenced series. Tables 1 and 3 give ...
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Two Stage Markov Switching Model: Identifying the Indonesian Rupiah Per US Dollar Turning Points Post 1997 Financial Crisis
... regime switching model. Firstly, to detect if nonlinear model suits the data at hand, the BDS test and CUSUM of square test was used and the results indicates that a nonlinear model suits the ...
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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 ...parameter model of Kim (1993) with Markov-switching het- eroscedasticity ...
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Output collapse, growth and volatility in Sub Saharan Africa: a regime switching approach
... A Markov-switching model with time-varying transition probabilities is applied to sub- Saharan African data to examine the link between output collapses and ...the model, the growth rate moves ...
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Contagion between United States and european markets during the recent crises
... The other three series –the S&P Eurozone Government Bond Index Prices (SPGBI), the European Brent Spot Price (Brent) and the evolution of the Euro/US Exchange rate (EU.USD)- exhibit a tendency of almost always ...
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A tale of two states: asymmetries in the UK small, value and momentum premiums
... two-stage Markov switching model approach. The Markov Switching model was pioneered by Hamilton (1989) and over the years gained popularity for studying the asymmetries across ...
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Fractal Market Hypothesis and Markov Regime Switching Model: A Possible Synthesis and Integration
... non-linear model that evaluates the probability of switching is the Markov Switching Model (MSM) which assumes that the underlying process that leads to the nonlinear dynamics in a ...
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Random walk analysis with multiple structural breaks: Case study in emerging market of S&P BSE sectoral indices stocks
... the Markov Switching ...a model comparison approach on testing the random walk hypothesis in the China stock market has been investigated by Darrat and Zhong ...
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Pension plan solvency and extreme market movements : a regime switching approach
... Our main result is that the assessed risk of pension scheme underfunding is highly de- pendent on the precise specification of the econometric process driving asset returns and changes in the discount rate. Given that ...
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Estimating and forecasting the yield curve using a Markov Switching Dynamic Nelson and Siegel Model
... Nelson-Siegel model of the yield curve of U.S. government bonds using a Markov switching latent variable model that allows for discrete changes in the stochastic process followed by the ...
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Option Pricing with Markov Switching in Uncertainty Markets
... validated Markov switching model in the investigation of option pricing, in this paper, we deal with the pricing of options with Markov switching model in uncertainty ...the ...
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Conditional Markov chain and its application in economic time series analysis
... a Markov switching model with mean and vari- ance having independent switching, which does not capture the reduced recession duration observed in the post-1984 ...their model identi…es ...
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A Markov switching vector equilibrium correction model of the UK labour market
... statistical model that offers a congruent representation of post-war UK labour ...autoregressive Markov-switching model where some parameters change according to the phase of the business ...
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Regime-Dependent Effects on Stock Market Return Dynamics: Evidence from SAARC Countries
... this model is statistically significant was undertaken successfully by Hansen (1992, 1993) and Garcia (1998), who conducted extensive evaluations and revealed regime switching in various directions for ...
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An Infinite Hidden Markov Model for Short term Interest Rates
... dependent Markov switching model can capture the non-linearities in the drift and volatility function of the US ...a model of structural ...four-state Markov switching ...
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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 ...This model is ...
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Regime Changes in the Relationship between Stock Market Return and the Growth Rates of Output and Money Supply in Thailand
... return. 3 The results lead to casting doubt on the reliability of a linear VAR model. In other words, the relationship might be nonlinear. To analyze the different impacts of the growth rates of GDP and monetary ...
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