Results from Markov-switching Model
Modelling Regime Switching and Structural Breaks with an Infinite Dimension Markov Switching Model
... hidden Markov model (SDHDP- ...regime switching dynamics. 2 This is done by avoiding the label switching problem and focusing on labelling invariant posterior ...regime switching and ...
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What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model
... multivariate Markov switching models to characterize the time-varying linkages among the Irish stock market, one of the top world performers of the 1990s, and the US and UK stock ...regime switching ...
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Markov-Switching MIDAS Models
... forecasting results for the period 1998:Q1 to ...the Markov-switching case, including an autoregressive lag seems to be of less ...AR(1) model. For forecast horizons h = {0, 1/3, 2/3, 1}, the ...
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Testing CAPM using Markov switching model: the case of coal firms
... However, these results bring with questions that why the betas of coal companies are time-varying and why the coal companies behave differently from each others. Therefore some studies in the literature try ...
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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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A Black-Litterman portfolio allocation model combined with a Markov switching framework
... a Markov switching framework has been applied to model the views in a Black-Litterman portfolio allocation ...the Markov switching framework was extablished in order to calculate the ...
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Testing the international capital asset pricing model with Markov switching model in emerging markets
... The results derived by using ICAPM make commenting about risk and integration of capital markets ...empirical results in this study have interesting implications for these ...linear model, systematic ...
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Theory and Inference for a Markov-Switching GARCH Model
... empirical results, like in Hamilton and Susmel (1994), and our results presented in the next ...observations from this DGP, and in Figure 2, we show the 1,500 initial observations of the series, and ...
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Theory and inference for a Markov switching Garch model.
... empirical results, like in Hamilton and Susmel (1994), and our results presented in the next ...observations from this DGP, and in Figure 2, we show the 1,500 initial observations of the series, and ...
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Theory and inference for a Markov switching GARCH model
... empirical results, like in Hamilton and Susmel (1994), and our results presented in the next ...observations from this DGP, and in Figure 2, we show the 1,500 initial observations of the series, and ...
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Option Pricing in a Black-Scholes Model with Markov Switching
... the Markov process will leave state i in a short period of time, and hence the effect of such initial state is ...the results in a smaller time ...returns from the perspective of computing option ...
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Bayesian Analysis of a Markov Switching Stochastic Volatility Model
... estimation results of the MSSV ...MSSV model than those in the SV ...of switching between the high- and low-volatility states is quite ...(SVJ) model instead of the MSSV ...SVJ model ...
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Markov Switching Regimes in a Monetary. Exchange Rate Model*
... noise from short-term move- ments in the exchange rates and the fundamentals and therefore promises more sta- ble ...Frankel's model is based on a version of purchasing power par- ity PPP (Frankel, 1979, ...
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Growth miracles and failures in a Markov switching classification model of growth
... removed from the equation, the GADP indicator captures even more thoroughly the influence of being ...the results are affected by introducing additional explanatory variables such as the investment ...
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Autocovariance Structure of Markov Regime Switching Models and Model Selection
... stationary Markov regime switching models, the autocovariance function is that of a V ARMA ( p;q ), where the upper bound of ( p;q ) is an elementary function of the number of ...mean-variance ...
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Forecasting Value-at-Risk Using the Markov-Switching ARCH Model
... calculated from parametric volatility models, we implement two alternative nonparametric approaches, including the historical simulation (hereafter, HS) and TGARCH-adjusted historical simulation (adjusted ...
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A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors
... Our results show that the default spread exhibit di¤erent sensitivities to consumption and in‡ation depending on the di¤erent possible ...the model can reproduce out of sample some key properties of ...
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A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors
... Our results also indicate that sharp increases in spreads are not necessarily linked to macroeconomic ...our model because this period is found to be in a high consumption growth and low inflation risk ...
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Estimation of Markov regime-switching regression models with endogenous switching
... a model of independent switching, to the Hamilton (1989) regime-switching model, in which the state process is serially ...two-regime Markov-switching regression model ...
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Fractal Market Hypothesis and Markov Regime Switching Model: A Possible Synthesis and Integration
... Our results from the MSM confirms the assertion of Peters (1991) that a time series with a high Hurst exponent signifies more persistence with a more distinct trend and also less ...
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