Results 171 to 180 of about 32,949 (205)

Offline fitting Markov switching model

Model Assisted Statistics and Applications, 2019
Markov regime switching models remain enormously popular in speech recognition, economics, finance, etc. Nonparametric segmentation in switching models without probability assignment of jump moments is in many papers by Brodsky and Darkhovsky. We model all regimes as long SCOT strings.
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A Stochastic Volatility Model With Markov Switching

Journal of Business & Economic Statistics, 1998
This article presents a new way of modeling time-varying volatility. We generalize the usual stochastic volatility models to encompass regime-switching properties. The unobserved state variables are governed by a first-order Markov process. Bayesian estimators are constructed by Gibbs sampling.
Li, WK, So, MKP, Lam, K
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Markov-switching mixed-frequency VAR models

International Journal of Forecasting, 2015
Abstract This paper introduces regime switching parameters to the Mixed-Frequency VAR model. We begin by discussing estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments.
Foroni, Claudia, Guérin, Pierre, MARCELLINO, MASSIMILIANO   +2 more
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A Family of Markov‐Switching Garch Processes

Journal of Time Series Analysis, 2012
This paper develops a family of Markov‐switching GARCH (MSG) processes that not only encompasses some specifications in the literature, but also can be regarded as a Markov‐switching version of the family of GARCH processes introduced byHe and Teräsvirta (J. Econometrics, 1999, 92, 173–192).
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The multi-chain Markov switching model

Journal of Forecasting, 2005
In many real phenomena the behaviour of a certain variable, subject to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a particular multivariate Markov switching model is developed
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INTEGRATED MARKOV-SWITCHING GARCH PROCESS

Econometric Theory, 2009
This paper investigates stationarity of the so-called integrated Markov-switching generalized autoregressive conditionally heteroskedastic (GARCH) process, which is an important subclass of the Markov-switching GARCH process introduced by Francq, Roussignol, and Zakoïan (2001,Journal of Time Series Analysis22,197–220) and a Markov-switching version of ...
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Markov Switching Models

This thesis displays a presentation of the Hamilton's Markov Switching model both in simple and State Space form. Moreover, the model is applied in the India's GDP and DJIA Index using R. This thesis is based on three chapters of Markov Switching models.
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Nonstationarities and Markov Switching Models

2013
This paper proposes a flexible model that allows for recent changes observed in the US business cycle in the last six decades. It proposes a Markov switching model with three Markov processes to characterize the dynamics of US output fluctuations. We consider the possibility that both the mean and the variance of growth rates of real GDP can have short
Marcelle Chauvet, Yanpin Su
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Testing Markov switching models

Applied Economics, 2014
In this article, we propose a new test for Markov switching models. Unlike the tests in the existing literature (e.g. Hansen, 1992; Garcia, 1998; Cho and White, 2007), we focus on testing the null of two regimes, instead of one single regime, in a switching framework.
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Trend in Markov Switching VAR Models

We consider deterministic time trends in Markov Switching Vector Autoregressive processes, and propose estimation of the parameters by using a modified Expectation-Maximization (EM) algorithm. Then we derive consistency and the asymptotic distribution of the obtained estimators.
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