Results 121 to 130 of about 32,949 (205)

Finance and the Business Cycle: a Kalman Filter Approach with Markov Switching [PDF]

This paper combines two popular econometric tools, the dynamic factor model and the Markov-Switching model, to consider three segments of the financial system- the stock market, debt, and money- and their contribution to US business cycles over the past ...
Jose Ricardo da Costa e Silva, Ryan A. Compton   +1 more
core  

The Portuguese Stock Market Cycle: Chronology and Duration Dependence [PDF]

This paper tries to identify, for the first time, a chronology for the Portuguese stock market cycle and test for the presence of duration dependence in bull and bear markets.
Vítor Castro
core  

PUNTOS DE GIRO EN LA ECONOMÍA ARGENTINA

Revista de Economía Política de Buenos Aires, 2017
RESUMEN En este artículo se utilizan diferentes técnicas para identificar los períodos recesivos y expansivos de la economía argentina que permitan establecer una cronología cíclica robusta en función de resultados proporcionados por diferentes métodos.
Cristian Rabanal
doaj  

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
core  

Distributed Robust Filtering for Wireless Sensor Networks with Markov Switching Topologies and Deception Attacks. [PDF]

Sensors (Basel), 2020
Zhu F, Liu X, Wen J, Xie L, Peng L.
europepmc   +1 more source

Cointegration and Regime-Switching Risk Premia in the U.S. Term Structure of Interest Rates [PDF]

To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model.
PeterTillmann
core  

Markov switching zero-inflated space-time multinomial models for comparing multiple infectious diseases. [PDF]

Biostatistics
Douwes-Schultz D, Schmidt AM, Freitas LP, Carvalho MS.   +3 more
europepmc   +1 more source

Impact of COVID-19 on Local Markets: An Application of Garch and Markov-Switching Dynamic Regression

, 2022
Abimbola O, Ogbekile C, Oseghale E.
europepmc   +1 more source

Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach. [PDF]

Financ Res Lett, 2020
Just M, Echaust K.
europepmc   +1 more source

Booms, Recessions and Financial Turmoil: A Fresh Look at Investment Decisions under Cyclical Uncertainty [PDF]

The paper studies the interaction between cyclical uncertainty and investment in a stochastic real option framework where demand shifts stochastically between three different states, each with different rates of drift and volatility.
Michael Funke, Yu-Fu Chen
core