Results 101 to 110 of about 32,949 (205)

Pemodelan Markov Switching Autoregressive [PDF]

, 2014
Transition from depreciation to appreciation of exchange rate is one of regime switching that ignored by classic time series model, such as ARIMA, ARCH, or GARCH.
Ariyani, F. D. (Fiqria), Warsito, B. (Budi), Yasin, H. (Hasbi)   +2 more
core  

Using GAM functions and Markov-Switching models in an evaluation framework to assess countries' performance in controlling the COVID-19 pandemic. [PDF]

BMC Public Health, 2021
de Oliveira AMB, Binner JM, Mandal A, Kelly L, Power GJ.   +4 more
europepmc   +1 more source

Application of Three Alternative Approaches to Identify Business Cycles in Peru [PDF]

Three alternative econometric approaches are used to estimate business cycles in the Peruvian economy. These approaches are the Plucking model due to Friedman (1964, 1993), the Markov Switching model proposed by Hamilton (1989) and the Smooth Transition ...
Rodriguez Gabriel
core  

Bitcoin Cycle through Markov Regime-Switching Model

Engineering Proceedings
We analyzed Bitcoin’s cyclical patterns used by the Markov regime-switching model and explored the impacts of inflation and the US Dollar Index on Bitcoin’s cyclicality.
Yi-Chun Shih, Wen-Tsung Huang, Pao-Peng Hsu   +2 more
doaj   +1 more source

Fiscal Regime Shifts in Portugal [PDF]

We estimate changes in fiscal policy regimes in Portugal with a Markov Switching regression of fiscal policy rules for the period 1978-2007, using a new dataset of fiscal quarterly series.
António Afonso, Peter Claeys, Ricardo M. Sousa   +2 more
core  

ENHANCING STOCK PORTFOLIO PERFORMANCE USING MARKOV-SWITCHING MODELS AND CANDLESTICK PATTERNS FOR LONG-TERM INVESTMENT

Barekeng
Islamic stocks in Indonesia face challenges in portfolio management due to the limited number of issuers and low diversification. The change in market regime from bullish to bearish makes the portfolio more vulnerable, especially since some investors do ...
Denny Nurdiansyah, Agus Sulistiawan
doaj   +1 more source

Optimal monetary policy with a regime-switching exchange rate in a forward-looking model [PDF]

We evaluate the macroeconomic performance of different monetary policy rules when there is exchange rate uncertainty. We do this in the context of a non-linear rational expectations model.
Fernando Alexandre, John Driffill, Pedro Bação   +2 more
core  

A test for volatility spillovers [PDF]

, 2002
This paper proposes a new procedure for analyzing volatility links between di®erent markets based on a bivariate Markov switching model.
Sola, M, Spagnolo, F, Spagnolo, N
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Predicting the incidence of brucellosis in Western Iran using Markov switching model. [PDF]

BMC Res Notes, 2021
Mohammadian-Khoshnoud M, Sadeghifar M, Cheraghi Z, Hosseinkhani Z.   +3 more
europepmc   +1 more source

A discrete-time model that weakly converges to a continuous-time geometric Brownian motion with Markov switching drift rate

Frontiers in Applied Mathematics and Statistics
This research is devoted to studying a geometric Brownian motion with drift switching driven by a 2 × 2 Markov chain. A discrete-time multiplicative approximation scheme was developed, and its convergence in Skorokhod topology to the continuous-time ...
Vitaliy Golomoziy, Yuliya Mishura, Kamil Kladívko   +2 more
doaj   +1 more source