Results 151 to 160 of about 498,137 (306)
The impact of coal combustion, nitrous oxide emissions, and traffic emissions on COVID-19 cases: a Markov-switching approach. [PDF]
Environ Sci Pollut Res Int, 2021 Anser MK +5 more
europepmc +1 more source
Identification of speculative bubbles using state-space models with Markov-switching [PDF]
In this paper we use a state-space model with Markov-switching to detect speculative bubbles in stock-price data. Our two innovations are (1) to adapt this technology to the state-space representation of a well-known present-value stock-price model, and (
Bernd Wilfling, Nael Al-Anaswah
core
The importance of considering regimes in long‐term asset allocation to real estate
Real Estate Economics, EarlyView.Abstract We investigate the long‐term, regime‐dependent asset allocation of an investor's wealth in a mixed‐asset portfolio that includes publicly traded real estate. We show that augmenting standard VAR models with Markov‐switching features not only improves predictive power for asset returns but also introduces economically meaningful horizon effects
Massimo Guidolin +2 more
wiley +1 more source
Local Search and the Evolution of World Models
Topics in Cognitive Science, EarlyView., 2023 Abstract An open question regarding how people develop their models of the world is how new candidates are generated for consideration out of infinitely many possibilities. We discuss the role that evolutionary mechanisms play in this process. Specifically, we argue that when it comes to developing a global world model, innovation is necessarily ...
Neil R. Bramley +3 more
wiley +1 more source
Estimating and Forecasting Asset Volatility and Its Volatility: A Markov-Switching Range Model [PDF]
This paper proposes a new model for modeling and forecasting the volatility of asset markets. We suggest to use the log range defined as the natural logarithm of the difference of the maximum and the minimum price observed for an asset within a certain ...
Jan Piplack
core
Real Estate Economics, EarlyView.Abstract We estimate the price impact of very nearby concurrently listed properties in the Sydney housing market and assess their competition effects. We apply a hedonic model with spatiotemporal effects regularized via a graph Laplacian prior at the month‐by‐SA2 regional level to seven SA4 subregions of metropolitan Sydney. The model structure enables
Willem P. Sijp, Mengheng Li
wiley +1 more source
Marginal Likelihood for Markov-Switching and Change-Point Garch Models [PDF]
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC methods due to
Arnaud Dufays +2 more
core
Inference on state occupancy in covariate‐driven hidden Markov models
Methods in Ecology and Evolution, EarlyView.Abstract Hidden Markov models (HMMs) are natural and popular tools for analysing animal behaviour based on movement, acceleration and other sensor data. In particular, these models make it possible to infer how the animal's decision‐making process interacts with internal and external drivers by relating the probabilities of switching between distinct ...
Maya Natascha Vienken +2 more
wiley +1 more source
American Journal of Agricultural Economics, EarlyView.Abstract Agricultural subsidies can be an effective policy tool to enhance soil organic carbon sequestration. This paper assesses the effectiveness of a second‐best hypothetical policy which subsidizes additional canola hectares optimally for each soil zone in Saskatchewan in an effort to increase soil organic carbon.
Devin A. Serfas
wiley +1 more source
Forecasting Exchange Rates: The Multi-State Markov-Switching Model with Smoothing [PDF]
This paper presents an exchange rate forecasting model which combines the multi-state Markov-switching model with smoothing techniques. The model outperforms a random walk at short horizons and its superior forecastability appears to be robust over ...
Chunming Yuan
core