Results 11 to 20 of about 32,949 (205)
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 ...
Hujer, Reinhard +2 more
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Markov-switching generalized additive models [PDF]
Statistics and Computing, 2015 We consider Markov-switching regression models, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regime switching controlled by an unobservable Markov chain.
Glennie, Richard +3 more
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Beveridge-Nelson Decomposition with Markov Switching [PDF]
, 2006 This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process.
Chin Nam Low +2 more
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Long memory with Markov-Switching GARCH [PDF]
Economics Letters, 2008 The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation
Krämer, Walter
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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.
Monica Billio, Silvestro Di Sanzo
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Theory and Inference for a Markov-Switching GARCH Model [PDF]
SSRN Electronic Journal, 2007 We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity
Arie Preminger +2 more
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, 2021 Markov switching models are a family of models that introduces time variation in the parameters in the form of their state, or regime-specific values. This time variation is governed by a latent discrete-valued stochastic process with limited memory.
Song, Y, Woźniak, T
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Markov-Switching MIDAS Models [PDF]
Journal of Business & Economic Statistics, 2013 This article introduces a new regression model—Markov-switching mixed data sampling (MS-MIDAS)—that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models.
MARCELLINO, MASSIMILIANO, P. Guerin
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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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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.
openaire +2 more sources