Results 11 to 20 of about 14,044 (266)
The Markov Switching ACD Model [PDF]
SSRN Electronic Journal, 2002 We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process, which is ...
Hujer, Reinhard +2 more
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Fault-Tolerant Control of Second-Order Nonlinear Multi-Agent Formation Under Markov Switching Topology [PDF]
Jisuanji gongcheng, 2023 To solve the problems of communication signal loss and controller failure in the formation control of multi-agent systems, this paper proposes a fault-tolerant control protocol for second-order nonlinear multi-agent system leader-follower formation with ...
Lingcong OUYANG, Kaijun YANG, Zhixiong ZHANG
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MARKOV SWITCHING AND THE TAYLOR PRINCIPLE [PDF]
Macroeconomic Dynamics, 2013 Early research on the Taylor rule typically divided the data exogenously into pre-Volcker and Volcker–Greenspan subsamples. We contribute to the recent trend of endogenizing changes in monetary policy by estimating a real-time forward-looking Taylor rule with endogenous Markov switching coefficients and variance.
Christian Murray +2 more
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IEEE Access, 2022 In this paper, couple-group consensus is investigated for a kind of heterogeneous multi-agent systems (HMASs) with Markov switching. Some novel couple-group consensuses have been proposed, in which cooperative-competitive interaction, Markov switching ...
Xingcheng Pu, Lingxia Zhang, Xia Sun
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Granger-Causality in Markov Switching Models [PDF]
SSRN Electronic Journal, 2006 In this paper we propose a new parametrisation of transition probabilities that allows us to characterize and test Granger-causality in Markov switching models by means of an appropriate specification of the transition matrix. Test for independence are also provided. We illustrate our methodology with an empirical application.
BILLIO, Monica, DI SANZO S.
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Optimal Hedge Ratio of Bahar Azadi Coin Futures: Application of Markov Regime Switching Models [PDF]
مدلسازی اقتصادسنجی, 2018 According to the importance of the hedging of gold coin market fluctuations, the purpose of this study is to estimate the minimize variance of optimal hedge ratios for Bahar Azadi coin futures contracts from period of 2013/12/17 to 2017/06/01 using ...
Mozhgan Maleki, Meysam Rafei
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Applicationes Mathematicae, 1985 In a queueing network a point where a single stream of arrivals is split up into several output streams is called a switch. The behavior of a switch can be described by a stochastic process \((J_ n,Y_ n,X_ n)_{n\geq 0}\), where \(J_ n\) describes the type of the n-th customer, \(Y_ n\) the output stream he is directed to and \(X_ n\) the interarrival ...
Disney, R. L., McNickle, D. C.
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Entropy, 2022 This paper addresses the asynchronous stabilization problem of two typical stochastic switching systems, i.e., dual switching systems and semi-Markov jump systems.
Yushu Deng +5 more
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SAGE Open, 2022 This study involved a systematic literature review using bibliometric analysis to examine the evolution and current trends of Markov switching studies. The bibliometric analysis was used for the descriptive, intellectual, social, and conceptual network ...
Seuk Wai Phoong +2 more
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Investigating the Effect of Macroeconomic Variables on Business Cycles in Iran, Markov-Switching Model Approach [PDF]
مدلسازی اقتصادسنجی, 2020 One of the key issues that economists face when analyzing the evolution of economic activity is the attempt to explain business cycles. The behavior of macro variables during the business cycles and the effect of monetary and fiscal policy on their ...
Mohammad Ali Asaadi +2 more
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