[PDF] Top 20 Indirect estimation of Markov switching models with endogenous switching
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Indirect estimation of Markov switching models with endogenous switching
... The motivation for which the state variable has been considered exogenous with respect to the dependent variable is that the estimation method used for MS models, based on the nonlinear [r] ... See full document
7
Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models
... MRS-GRACH models to the price data of Bitcoin; we fit- ted a sample of Bitcoin returns with six m-state MRS estimations, with m ∈ {2, ...5-state Markov regime-switching model attained the highest ... See full document
52
Improving Markov switching models using realized variance
... joint Markov switching models in which the latent state variable enters both returns and ...infinite Markov switching models are ... See full document
39
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 ...dynamic estimation of model parameters is ...our ... See full document
235
The Markov switching multifractal model of asset returns: GMM estimation and linear forecasting of volatility
... So far our results essentially confirm the findings reported in Calvet and Fisher (2004). Now turn to a detailed assessment of the new linear forecasts based on GMM parameter estimates for Binomial models with k ... See full document
43
Bayesian Markov Regime Switching Models for Cointegration
... semi-Markov models are na- tural extensions of hidden Markov ...hidden Markov models implic- ity follows a geometric distribution, hidden semi-Markov models allow for more ... See full document
6
Efficient estimation of Markov regime switching models: An application to electricity wholesale market prices
... them models of first choice also in elec- tricity spot price modeling (Barz and Johnson, 1998; Kaminski, ...(MRJD) models were able to address the two main characteristics of electricity prices – mean ... See full document
22
Markov Switching Models with state dependent time varying transition probabilities
... the estimation error to the corresponding asymptotic standard error, and are typically treated as having an approximate standard normal dis- tribution (which is true under the assumption of a correctly specified ... See full document
36
Model Averaging in Markov Switching Models: Predicting National Recessions with Regional Data
... the estimation sample) - and compare it with a number of ...two models despite the fact that the SPF uses a much larger information set than our model-based ... See full document
40
Markov switching generalized additive models
... the Markov-switching Poisson regression model discussed in Wang and Puterman ...nonparametric estimation of the functional form of the ...hidden Markov model (HMM) machinery (Zucchini and ... See full document
12
Do Bubbles occur in the Gold Price? An investigation of Gold Lease Rates and Markov Switching Models
... the indirect benefits the holder of a commodity receives such as ease of access for production, preventing hold up problems and, from a financial asset perspective for gold, having the metal in your portfolio as a ... See full document
23
Switching Markov Gaussian models for dynamic power system inertia estimation
... Abstract— Future power systems could benefit considerably from having a continuous real-time estimate of system inertia. If realized, this could provide reference inputs to proactive control and protection systems which ... See full document
10
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 ... See full document
8
Regime switching behavior of volatilities of Islamic equities: evidence from Markov Switching GARCH models for some selected broad based indices
... namely, Markov regime switching GARCH (MSGARCH) is applied to some selected broad based Islamic equity indices from both advanced and emerging world and of their ...regime switching behavior between ... See full document
18
Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy
... type models can be solved by combining the Markov Regime Switching (MRS) model with ARCH models ...regime switching models is that as market conditions change, the factors that ... See full document
11
Identification and Estimation of Gaussian Affine Term Structure Models with Regime Switching
... A second and completely separate contribution of the paper is that we propose our canonical representation of GDTSMs, which is then used in double-regime environment as a new form of regime-switching GDTSMs. Us- ... See full document
12
Distributed self monitoring sensor networks via Markov switching Dynamic Linear Models
... Abstract —Wireless sensor networks empowered with low-cost sensing devices and wireless communications present an opportu- nity to enable continuous, fine-grained data collection over a wide environment. However, the ... See full document
10
Statistical modelling of individual animal movement : an overview of key methods and a discussion of practical challenges
... observation models are linear, and (2) that their respective error processes are ...state-space models to problems in engineering such as radar tracking, and has been applied to a vast number of problems in ... See full document
50
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 ... See full document
34
Considerations regarding inflation's evolution in Central and Eastern European countries
... Because in the present study the MS-AR models conducted to convincing results, it is possible to establish future research directions by using the same methodology. One direction would assume the extension of the ... See full document
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