Results 271 to 280 of about 498,137 (306)
Some of the next articles are maybe not open access.
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
openaire +1 more source
Optimal Test for Markov Switching Parameters
Econometrica, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Carrasco, Marine +2 more
openaire +2 more sources
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
openaire +2 more sources
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
openaire +1 more source
Offline fitting Markov switching model
Model Assisted Statistics and Applications, 2019Markov 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.
openaire +1 more source
A Stochastic Volatility Model With Markov Switching
Journal of Business & Economic Statistics, 1998This 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
openaire +3 more sources
Markov-switching mixed-frequency VAR models
International Journal of Forecasting, 2015Abstract 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 +2 more
openaire +4 more sources
A Family of Markov‐Switching Garch Processes
Journal of Time Series Analysis, 2012This 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).
openaire +2 more sources
The multi-chain Markov switching model
Journal of Forecasting, 2005In 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
openaire +5 more sources
INTEGRATED MARKOV-SWITCHING GARCH PROCESS
Econometric Theory, 2009This 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 ...
openaire +2 more sources