Results 161 to 170 of about 32,949 (205)
Computational Approaches Reveal Developmental Shifts in Exploratory Play. [PDF]
Dev SciColantonio J +7 more
europepmc +1 more source
Moments of Markov switching models [PDF]
Journal of Econometrics, 2000 Let \(\{\varepsilon_t\}\) be i.i.d. \(N(0,1)\) random variables and \(S_t\) an unobserved stationary ergodic \(k\)-state Markov homogeneous process. The author deals with three types of Markov switching models, namely (MS I) \(y_t=\mu_{S_t} +\sigma_{S_t}\varepsilon_t\), (MS II) \(y_t=\mu_{S_t} +\varphi_1(y_{t-1}-\mu_{S_{t-1}})+\sigma_{S_t}\varepsilon_t\
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Structural vector autoregressions with Markov switching [PDF]
Journal of Economic Dynamics and Control, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Markku Lanne +2 more
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2023
Abstract The authors propose novel tests for the detection of Markov switching deviations from forecast rationality. Existing forecast rationality tests either focus on constant deviations from forecast rationality over the full sample or are constructed to detect smooth deviations based on non-parametric techniques.
Florens Odendahl +2 more
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Abstract The authors propose novel tests for the detection of Markov switching deviations from forecast rationality. Existing forecast rationality tests either focus on constant deviations from forecast rationality over the full sample or are constructed to detect smooth deviations based on non-parametric techniques.
Florens Odendahl +2 more
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Asymptotics of Normalized Control with Markov Switchings
Ukrainian Mathematical Journal, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Nikitin, A. V., Khimka, U. T.
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Markov switching and exchange rate predictability
International Journal of Forecasting, 2011Abstract We first show that the recent success of modern macroeconomic models in forecasting nominal exchange rates, evaluated using the Clark and West (2006) inference procedure, is partly due to the presence of the constant term (drift), in addition to the economic fundamentals.
Alex Nikolsko-Rzhevskyy, Ruxandra Prodan
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Optimal Test for Markov Switching Parameters
Econometrica, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Carrasco, Marine +2 more
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ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES
Econometric Theory, 2007Summary: Generalized autoregressive conditional heteroskedasticity (GARCH) models with Markov-switching regimes are often used for volatility analysis of financial time series. Such models imply less persistence in the conditional variance than the standard GARCH models and potentially provide a significant improvement in volatility forecasts ...
Abramson, Ari, Cohen, Israel
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On the Markov switching welfare cost of inflation
Journal of Economic Dynamics and Control, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dai, Wei, Serletis, Apostolos
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