Results 51 to 60 of about 1,700,696 (345)
MathematicsRegime switching models have been widely studied for their ability to capture the dynamic behavior of time series data and are widely used in economic and financial data analysis.
Zhenni Tan, Yuehua Wu
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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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A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading
Energies, 2019 In this paper, we test the use of Markov-switching (MS) GARCH (MSGARCH) models for trading either oil or natural gas futures. Using weekly data from 7 January 1994 to 31 May 2019, we tested the next trading rule: to invest in the simulated commodity if ...
Oscar V. De la Torre-Torres +2 more
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Optimal Forecasts from Markov Switching Models [PDF]
Journal of Business & Economic Statistics, 2014 We derive forecasts for Markov switching models that are optimal in the MSFE sense by means of weighting observations. We provide analytic expressions of the weights conditional on the Markov states and conditional on state probabilities. This allows us to study the effect of uncertainty around states on forecasts.
Boot, Tom, Pick, Andreas
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Advanced Robotics Research, EarlyView.Robots can learn manipulation tasks from human demonstrations. This work proposes a versatile method to identify the physical interactions that occur in a demonstration, such as sequences of different contacts and interactions with mechanical constraints.
Alex Harm Gert‐Jan Overbeek +3 more
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Advanced Science, EarlyView.Using iPSC‐derived motoneurons and postmortem tissue from FUS‐ALS patients, it is demonstrated that increased mitochondrial transcription leads to elevated cytosolic double‐stranded RNA (dsRNA) levels. This aberrant accumulation activates a RIG‐I–dependent innate immune response leading to neurodegeneration, which is amenable for FDA‐ and EMA‐approved ...
Marcel Naumann +26 more
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Perturbation Methods for Markov-Switching DSGE Models [PDF]
SSRN Electronic Journal, 2013 This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of Markov-switching DSGE models. We introduce an important and practical idea of partitioning the Markov-switching parameter space so that a steady state is well de?ned.
Andrew T. Foerster +3 more
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Lipid‐Facilitated Opening of the ADAM10 Sheddase Revealed by Enhanced Sampling Simulations
Advanced Science, EarlyView.Phosphatidylserine acts as a lipid trigger to enhance activation of the sheddase ADAM10. By integrating fluorescence spectroscopy assays with enhanced sampling molecular dynamics simulations, this study shows that phosphatidylserine promotes ADAM10 catalytic activity along with expansion of its extracellular domains, enhancing accessibility to scaffold
Adrien Schahl +7 more
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Markov-switching decision trees [PDF]
AStA Advances in Statistical AnalysisAbstractDecision trees constitute a simple yet powerful and interpretable machine learning tool. While tree-based methods are designed only for cross-sectional data, we propose an approach that combines decision trees with time series modeling and thereby bridges the gap between machine learning and statistics.
Adam, Timo +2 more
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Stationarity of multivariate Markov–switching ARMA models [PDF]
Journal of Econometrics, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Christian Francq, Jean-Michel Zakoïan
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