two-state Markov switching model
Does asymmetric information play a role in explaining the Asian currency crisis? Application to Indonesian and Malaysian cases using a two state Markov Switching model
... a two-state Markov-switching model with time varying transition ...of Markov-switching with transition probabilities that are fixed ...a Markov-switching ...
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Output collapse, growth and volatility in Sub Saharan Africa: a regime switching approach
... the state the economy is in at time ...in state 1; the second set apply when the system is in state ...a Markov chain which itself depends on a transition ...particular state is ...
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Disparity in Performance of the Czech Construction Sector: Evidence from the Markov‑Switching Model
... a 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 ...
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Pension plan solvency and extreme market movements : a regime switching approach
... lognormal model of portfolio returns we extend our analysis to incorporate extreme events into the ...the two most commonly employed are extreme value theory (EVT) models that incorporate copulas and ...
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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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Regime Switching Model on Hourly Electricity Spot Price Dynamics
... regime-switching model for price dynamics of hourly spot price of electricity on the electricity market is ...a two-state Markov Regime Switching (MRS) model that gives ...
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Fractal Market Hypothesis and Markov Regime Switching Model: A Possible Synthesis and Integration
... series switching from one state to ...estimated switching probabilities to confirm the relative propensity of a time series to regress to the mean or to cluster in a ...the two methods under ...
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Markov Switching Models with state dependent time varying transition probabilities
... of Markov-switching models with time-varying transition prob- ability matrices in which the parameters associated with the latter are subject to random changes driven by an exogenous Markov ...the ...
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Pension plan solvency and extreme market movements: : A regime switching approach
... lognormal model of portfolio returns, we extend our analysis to incorporate extreme events into the ...the two most commonly employed are extreme value theory (EVT) models that incorporate copulas and ...
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Two Stage Markov Switching Model: Identifying the Indonesian Rupiah Per US Dollar Turning Points Post 1997 Financial Crisis
... univariate two-state Markov switching autoregressive model (MS-AR) model developed by Hamilton (1989), Engel and Hamilton (1990) to capture regime shifts behaviour in both the ...
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Application of Hidden Markov Models and Hidden Semi Markov Models to Financial Time Series
... regime switching MS and MSM models to the data was tested with a different number of ...AIC, two states turned out to be sufficient and therefore the results that are summarized in the Tables ...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 ...This model is ...
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Markov switching generalized additive models
... to state 1, and all other years to state ...the state involving more effective advertising—i.e. the entry to state 1 in 1916/1917—followed the re-labeling of Lydia Pinkham’s Vegetable ...
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Identifying regime shifts in Indian stock market: A Markov switching approach
... a two state Markov switching autoregressive model (MS (2)-AR (2)) is used to identify bull and bear market ...The model predicts that Indian stock market will remain under bull ...
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The SIS epidemic model with Markovian switching
... epidemic model, which is useful in performing computer ...epidemic model and compare these with the corresponding conditions for the deterministic SIS epidemic ...a two-state Markov ...
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Indirect estimation of Markov switching models with endogenous switching
... Markov Switching (MS hereafter) models have been successful in the econometric literature, since they are able to consider different states in the analyzed variable, and to provide an in- ference on the ...
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Testing the international capital asset pricing model with Markov switching model in emerging markets
... last two decades (De Santis and İmrohoroğlu, 1997; Jan, Chou and Hung, 2000; Gerard, Thanyalakpark and Batten, 2003; Phylaktis and Ravazzolo, 2004; Chi, Li and Young, 2006; Chen and Huang, 2007; Jacobsen and Liu, ...
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A Markov switching vector equilibrium correction model of the UK labour market
... small model of the UK labour market using a multivariate Markov-switching vector equilibrium correction model ...to model the domestic and international cyclical swings that affected ...
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Conditional Markov chain and its application in economic time series analysis
... process is fast because no numerical optimization is required. Robustness of the estimation results is checked by trying various initial values. When autoregressive terms are added as in Hamilton (1989), an ...
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