Carbon emissions and sustainability in Covid-19's waves: evidence from a two-state dynamic Markov-switching regression (MSR) model. [PDF]
Ann Oper Res, 2023 Konstantakis KN +4 more
europepmc +1 more source
Oil and the G7 business cycle : Friedman's Plucking Markov Switching Approach [PDF]
To analyze whether oil price can account for the business cycle asymmetries in the G7, this paper adopts the Friedman’s Plucking Markov Switching Model to decompose G7 real GDPs into common permanent components, common transitory components, infrequent ...
Jae Ho, Yoon
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A Markov Switching Approach in Assessing Oil Price and Stock Market Nexus in the Last Decade: The Impact of the COVID-19 Pandemic. [PDF]
Sage Open, 2023 Phoong SW, Mahi MA, Phoong SY.
europepmc +1 more source
Regime Tracking in Markets with Markov Switching
MathematicsThe object of the investigation is a model of the incomplete financial market. It includes a bank deposit with a known interest rate and basic risky securities.
Andrey Borisov
doaj +1 more source
A simple method for testing cointegration subject to regime changes [PDF]
In this paper, we propose a simple method for testing cointegration in models that allow for multiple shifts in the long run relationship. The procedure consists of computing conventional residual-based tests with standardized residuals from Markov ...
Martin Sola +2 more
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Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis. [PDF]
J Quant Econ, 2021 Dua P, Tuteja D.
europepmc +1 more source
Markov-Switching MIDAS Models [PDF]
This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov ...
Massimiliano Marcellino, Pierre Guerin
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The evolution of happiness pre and peri-COVID-19: A Markov Switching Dynamic Regression Model. [PDF]
PLoS One, 2021 Rossouw S, Greyling T, Adhikari T.
europepmc +1 more source
Multivariate Markov switching with weighted regime determination: giving France more weight than Finland [PDF]
This article deals with using panel data to infer regime changes that are common to all of the cross section. The methods presented here apply to Markov switching vector autoregressions, dynamic factor models with Markov switching and other multivariate ...
Martin Sola, Michael J. Dueker
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On the Stablity of the Wealth Effect [PDF]
Evidence of instability of the wealth effect in the USA is presented through the estimation of a Markov switching model of the long-run aggregate consumption function. The dating of the regimes appears to bear relation to movements in asset prices.
Fernando Alexandre +2 more
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