Results 41 to 50 of about 1,700,696 (345)
Frontiers in Energy Research, 2021 The rapid development of wind energy has brought a lot of uncertainty to the power system. The accurate ultra-short-term wind power prediction is the key issue to ensure the stable and economical operation of the power system.
Hang Fan +3 more
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, 2020 This paper examines the dependence structure and dynamics between gold and oil prices. Specifically, we study the hedge and safe haven ability of gold for oil prices using daily gold prices and West Texas Intermediate Institute (WTI) crude oil spot ...
A. Tiwari +3 more
semanticscholar +1 more source
Markov Switching in Disaggregate Unemployment Rates [PDF]
SSRN Electronic Journal, 2001 We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in the U.S. unemployment rates. We extract the common dynamics amongst unemployment rates disaggregated for 7 age groups. The framework allows analysis of the contribution of demographic factors to secular changes in unemployment rates.
Marcelle Chauvet +2 more
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Statistical Theory and Related Fields, 2020 This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting.
Liming Zhang, Rongming Wang, Jiaqin Wei
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Adding flexibility to Markov Switching models [PDF]
Statistical Modelling, 2016 Abstract: Very often time series are subject to abrupt changes in the level, which are generally represented by Markov Switching (MS) models, assuming that the level is constant within a certain state (regime). This is not a realistic framework because in the same regime the level could change with minor jumps with respect to a change of state; this ...
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Exchange Rates and Markov Switching Dynamics [PDF]
SSRN Electronic Journal, 2004 This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior.
Yin-wong Cheung, Ulf G. Erlandsson
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Optimal Portfolio Selection in an Itô–Markov Additive Market
Risks, 2019 We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models.
Zbigniew Palmowski +2 more
doaj +1 more source
Investigating the Role of Human Capital and Shadow Economy in the Impact of Natural Resource Rent on Income Inequality with Regime Change [PDF]
برنامهریزی و بودجه, 2023 Income inequality is a major problem in most countries, particularly the underdeveloped world. Unequal distribution of income weakens the achievement of sustainable global economic growth and acts as an impasse to achieve the goals of sustainable ...
Heshmatolah Asgari, Ali Moridian
doaj
Structural vector autoregressions with Markov switching [PDF]
Journal of Economic Dynamics and Control, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
LUETKEPOHL, Helmut +2 more
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Understanding Markov-Switching Rational Expectations Models [PDF]
SSRN Electronic Journal, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Roger E.A. Farmer +2 more
openaire +3 more sources