Results 111 to 120 of about 1,700,696 (345)

Risk Transmission and Co‐Movements Between Financial Markets and Commodity Markets in the COVID‐19 Period

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho, H. Oliveira, M. Neves, J. Monteiro   +3 more
wiley   +1 more source

Estimating the risk of SARS-CoV-2 deaths using a Markov switching-volatility model combined with heavy-tailed distributions for South Africa. [PDF]

BMC Public Health, 2022
Mthethwa N, Chifurira R, Chinhamu K.
europepmc   +2 more sources

Inference and forecasting phase shift regime of COVID-19 sub-lineages with a Markov-switching model. [PDF]

Microbiol Spectr, 2023
Noh E, Hong J, Yoo J, Jung J.
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
core  

Arbuscular mycorrhizal fungal community abundance, functions, and symbiotic interactions revealed by root metatranscriptomes

iMetaOmics, EarlyView.
Paradigm shift: PCR‐free methods reveal 6–15‐fold higher arbuscular mycorrhizal (AM) fungal abundance than metabarcoding, exposing systematic underestimation across decades of research. Predictive power: AM fungal abundance serves as a community‐level trait that predicts crop yield under drought conditions.
Peilin Chen, John W. Taylor, Cheng Gao
wiley   +1 more source

Theory and inference for a Markov switching GARCH model [PDF]

We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity
BAUWENS, Luc, PREMINGER, Arie, ROMBOUTS, Jeroen V.K.   +2 more
core   +3 more sources

Markov Switching Model Analysis of Implied Volatility for Market Indexes with Applications to S&P 500 and DAX

Journal of Mathematics, 2014
We adopt a regime switching approach to study concrete financial time series with particular emphasis on their volatility characteristics considered in a space-time setting.
Luca Di Persio, Samuele Vettori
doaj   +1 more source

Synchronization in Cycles of China and India During Recent Crises: A Markov Switching Analysis. [PDF]

J Quant Econ, 2023
Dua P, Tuteja D.
europepmc   +1 more source

A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter [PDF]

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the
Wen-Jen Tsay, Wolfgang Härdle
core  

Hidden Markov Quantile Models With Trends for Analysing Air Temperature Data

International Journal of Climatology, EarlyView.
There is the question of whether climate change, expressed by time‐trends in temperature, is of a heterogeneous nature or not. Here, the time‐trend heterogeneity argument has been investigated using Hidden Markov (HM) quantile time‐trends models in temperature time series.
Georgios Tsiotas, Athanassios Argiriou, Anna Mamara   +2 more
wiley   +1 more source