Results 91 to 100 of about 1,700,696 (345)
Has the G7 business cycle become more synchronized ? [PDF]
This paper adopts Friedman’s Plucking Markov Switching Model to decompose G7 real GDPs into common permanent components, common transitory components, infrequent Markov Switching negative shock and domestic idiosyncratic components.
Jae Ho, Yoon
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Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions
Canadian Journal of Statistics, EarlyView.Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni +2 more
wiley +1 more source
A Markov approach to credit rating migration conditional on economic states
Canadian Journal of Statistics, EarlyView.Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
wiley +1 more source
Consensus for Multiple Unmanned Surface Vehicle (Musv) Systems with Markov Switching Topologies
Polish Maritime Research, 2019 This paper is concerned with sampled-data leader following consensus of multiple unmanned surface vehicle (MUSV) systems with random switching network topologies and wave-induced disturbance.
Wang Liyuan, Yue Wei, Zhang Rubo
doaj +1 more source
Markov-Switching and the Ifo Business Climate: The Ifo Business Cycle Traffic Lights [PDF]
Business cycle indicators are used to assess the economic situation of countries or regions. They are closely watched by the public, but are not easy to interpret. Does a current movement of the indicator signal a turning point or not?
Klaus Abberger, Wolfgang Nierhaus
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Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
Research In International Business and Finance, 2019 This paper aims to select the best model or set of models for modelling volatility of the four most popular cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the exchange rates of
G. Caporale, Timur Zekokh
semanticscholar +1 more source
Ecography, EarlyView.The spatial ecology of stalk‐and‐ambush predators like the Eurasian lynx Lynx lynx depends on prey availability and environmental features, yet the relative roles of these factors remain unclear at large spatial scales. In this study, we analysed lynx habitat use across central and southern Finland using snow‐track data from the Wildlife Triangle ...
Francesca Malcangi +4 more
wiley +1 more source
The Spectral Representation of Markov-Switching Arma Models [PDF]
In this paper we propose a method to derive the spectral representation in the case of a particular class of nonlinear models: Markov Switching ARMA models.
Beatrice Pataracchia
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Continuous outcome estimation in N‐of‐1 trials for accelerated decision‐making
Epilepsia, EarlyView.Abstract Objective N‐of‐1 trials aim to determine the therapeutic effect for a single individual. This individualized approach necessitates collecting multiple data points over time through repeated alternating periods of active treatment and a comparator or control condition.
Victoria Defelippe +5 more
wiley +1 more source
Markov regime switching and unit root tests [PDF]
We investigate the power and size performance of unit root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching trend ...
Charles Nelson +2 more
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