Multi-state Markov regime-switching models
Bayesian Markov Regime Switching Models for Cointegration
... Since people care much about the time points where values are at least 2 standard deviations away from the historical mean, the figure shows that the we pick differ- ent time points using our model and decision making ...
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Estimation of Markov regime-switching regression models with endogenous switching
... of Markov-switching in which the latent state variable controlling the regime shifts is endogenously ...endogenous switching as a simple parameter ...endogenous switching model ...
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Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models
... Regime switching models have also been applied to non-financial ...discrete state regime-switching model to estimate the tran- sition probabilities of a simple four-state ...
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Multi-regime models involving Markov chains
... various multi-regime models involving Markov ...where Markov chains are used in the parameter estimation procedure as well as in the model ...a multi-regime model can be ...
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Autocovariance Structure of Markov Regime Switching Models and Model Selection
... a Markov regime switching model, the autocovariance structure can easily be used to ascertain a lower bound on the number of regimes k ...without Markov regime ...for Markov ...
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Analysis of Volatility in Gold Prices with the Markov Regime-Switching Models
... etkisini Markov Değişim Bayesian VAR modeli ile ...Çalışmada Markov rejim değişim ADF testi kullanılarak 1975-2013 yılları arasında altın fiyatlarındaki hızlı artışlar ...
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State Space Models with Endogenous Regime Switching
... toward filling in the important gapour estimated DSGE model implies that about 13% −45% of the U.S. monetary policy shifts can be attributed to historical monetary interventions, the remainder of which to ...
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Fitting semiparametric Markov regime-switching models to electricity spot prices
... Recently regime-switching models have become the standard tool for modeling electricity ...These models capture the main properties of electricity spot prices well but estimation of the model ...
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Optimal hedging in carbon emission markets using Markov regime switching models
... of Markov regime switching approaches considered substantially outperform alternative strategies for all the performance measures employed, including portfolio variance reduction, utility ...
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Optimal hedging in carbon emission markets using Markov regime switching models.
... of Markov regime switching approaches considered substantially outperform alternative strategies for all the performance measures employed, including portfolio variance reduction, utility ...
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Further applications of higher-order Markov chains and developments in regime-switching models
... hidden Markov models (HMM), also called weak HMM (WHMM), to capture the regime-switching and memory properties of financial time ...HMM-based regime-switching ...
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Efficient estimation of Markov regime-switching models: An application to electricity spot prices
... In this study we present how the techniques introduced in Section 3 can be used to efficiently calibrate MRS models to electricity spot prices. We use mean daily (baseload) spot prices from two major power ...
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Markov regime switching and unit root tests
... two-state Markov-switching trend model is that recessions have permanent effects on the level of output, that is the economy never recovers output lost during a ...used Markov regime ...
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Markov-Switching MIDAS Models
... the models with three regimes, a switch in the variance of the disturbances, in the intercept and with or without a switch in β 1 ...first regime β 0,1 is negative, whereas the intercept in the second ...
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The State-of-The-Economy Index and The probability of Recession: The Markov Regime-Switching Model 1
... The extent of the revisions to four important indicators were compared: (1) the index of manufacturing production, as an essential component of the composite index on the one hand, and the most appropriate to be updated ...
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Regime switching GARCH models
... possible regime paths grows exponentially with time, which renders the computation of the likelihood function ...tractable models that try to preserve the nature of the GARCH process have been ...each ...
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Regime switching GARCH models
... possible regime paths grows exponentially with time, which renders the computation of the likelihood function ...tractable models that try to preserve the nature of the GARCH process have been ...each ...
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Infinite-state Markov-switching for dynamic volatility and correlation models
... hidden Markov model that has already been applied to autoregressive models but never to volatility ...entire state vector is sampled in a few blocks and with small ...
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Efficient estimation of Markov regime switching models: An application to electricity wholesale market prices
... inferring not only the model parameters but also the state process values at the same time. The situation becomes even more complicated when the individual regimes are independent from each other but at least one ...
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EUAs and CERs: Interactions in a Markov regime-switching environment
... As M rises, it becomes increasingly easy to fit complicated dynamics and deviations from the normal distribution in the returns (Guidolin and Tim- mermann (2006)). However, this comes at the cost of having to estimate ...
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