Results 1 to 10 of about 1,700,696 (345)
COVID-19 and stock returns: Evidence from the Markov switching dependence approach. [PDF]
Res Int Bus Finance, 2023 This paper aims to investigate the regime-switching and time-varying dependence between the COVID-19 pandemic and the US stock markets using a Markov-switching framework.
Bouteska A, Sharif T, Abedin MZ.
europepmc +2 more sources
SAGE Open, 2022 This study involved a systematic literature review using bibliometric analysis to examine the evolution and current trends of Markov switching studies. The bibliometric analysis was used for the descriptive, intellectual, social, and conceptual network ...
Seuk Wai Phoong +2 more
doaj +2 more sources
The Markov switching ACD model [PDF]
SSRN Electronic Journal, 2002 We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the ...
Hujer, Reinhard +2 more
core +4 more sources
IEEE Transactions on Fuzzy Systems, 2022 This article addresses the asynchronous control for singularly perturbed systems with nonhomogeneous Markov switching approximated by T–S fuzzy models. The transition probabilities of the nonhomogeneous Markov process are supposed to be time-varying and ...
Jun Cheng, Wentao Huang, Hak-Keung Lam
exaly +2 more sources
Long memory with Markov-Switching GARCH [PDF]
Economics Letters, 2008 The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation
Krämer, Walter
core +8 more sources
Markov-Switching GARCH Models in R: The MSGARCH Package
Journal of Statistical Software, 2019 We describe the package MSGARCH, which implements Markov-switching GARCH (generalized autoregressive conditional heteroscedasticity) models in R with efficient C++ object-oriented programming.
David Ardia +4 more
doaj +2 more sources
Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach. [PDF]
Financ Res Lett, 2020 Highlights • It is the first work which focuses on three indicators of the financial market, namely volatility expectations, correlation expectations and illiquidity during the COVID-19 crisis.• We examine structural breaks in the stock market returns ...
Just M, Echaust K.
europepmc +2 more sources
Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model. [PDF]
PLoS ONE, 2018 In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student's-t innovation, copula functions and extreme value theory.
Marius Galabe Sampid +2 more
doaj +2 more sources
Beveridge-Nelson Decomposition with Markov Switching [PDF]
, 2006 This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process.
Chin Nam Low +2 more
core +4 more sources
Misspecified Markov Switching Model [PDF]
Economics Bulletin, 2009 I characterize the local power of an optimal test for a Markov Switching model under generalized alternatives. The result shows that the test still has power for the model with endogenous stochastic parameters unless they are orthogonal to the score ...
Youngki Shin
core +1 more source