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
The Argentinean Currency Crisis: A Markov-Switching Model Estimation [PDF]
Despite the fact that Argentina has been suffering from a recession for years, the timing and severity of the recent currency crisis surprised most observers. This paper analyzes the role of fundamentals and self-fulfilling speculation in the Argentinean
Patricia Alvarez-Plata +1 more
core
Miners' Reward Elasticity and Stability of Competing Proof‐of‐Work Cryptocurrencies
International Economic Review, EarlyView.ABSTRACT Proof‐of‐Work cryptocurrencies employ miners to sustain the system through algorithmic reward adjustments. We develop a stochastic model of the multicurrency mining and identify conditions for stable transaction speeds. Bitcoin's algorithm requires hash supply elasticity <$<$1 for stability, while ASERT remains stable for any elasticity and ...
Kohei Kawaguchi +2 more
wiley +1 more source
A Comparison Between Markov Switching Zero-Inflated and Hurdle Models for Spatio-Temporal Infectious Disease Counts. [PDF]
Stat MedXu M, Douwes-Schultz D, Schmidt AM.
europepmc +1 more source
The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not.
Bušs, Ginters
core
Common wave behavior for mergers and acquisitions in OECD countries? a unique analysis using new Markov switching panel model approach [PDF]
This paper investigates whether or not there is co-waved merger and acquisition (M&A) activity in 26 OECD countries. We apply the Markov Switching model to panel data (MSP hereafter), an approach which has not previously been attempted.
Chung-Hua Shen +2 more
core
The Short and the Long of It: Stock‐Flow Matching in the US Housing Market
International Economic Review, EarlyView.ABSTRACT From 2006 until 2020, the probability of selling a house in the U.S. declined sharply after listing for 2 weeks. Moreover, sales within the first 2 weeks of listing (“quick sales”) and sales happening afterward (“slow sales”) behaved differently over the housing cycle.
Eric Smith, Zoe Xie, Lei Fang
wiley +1 more source
Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]
PLoS OneSiddiqui N, Mohamad Hasim H.
europepmc +1 more source
A Markov-switching Model of Inflation in Australia [PDF]
This paper applies the methodology of Markov-switching models to describe the inflation process in Australia in the period since the early 1960s.
John Simon
core
Labor Market Monopsony Power and the Dynamic Gains to Openness Reforms
International Economic Review, EarlyView.ABSTRACT We embed labor market monopsony into a dynamic heterogeneous‐firm general equilibrium model with exporting, horizontal FDI, and rich firm lifecycle dynamics. Rising marginal costs with monopsony slow and limit incumbent firm growth in response to liberalization, shifting adjustment to the extensive margin.
Priyaranjan Jha +2 more
wiley +1 more source