Results 51 to 60 of about 32,949 (205)
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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The Effect of Trade Volume on TEPIX Index in Bear and Bull Cycles: An Application of Markov-Switching Model [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2014 In this paper, the effect of trade volume on TEPIX index is investigated based on bull and bear cycles of Tehran stock Exchange (TSE) using nonlinear Markov-Switching model.
Abbas Kalantari, Navid Khalil Paktinat
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Markov Switching Model for Financial Time Series [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 Modeling financial time series is an important step for its forecast and risk evaluation when financial assets are involved. In this context, this article presents a Markov Switching Model for BET series recorded during the period Oct-2000 - Sept-2014 ...
Alina Barbulescu +1 more
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Optimal Control with Partially Observed Regime Switching: Discounted and Average Payoffs
Mathematics, 2022 We consider an optimal control problem with the discounted and average payoff. The reward rate (or cost rate) can be unbounded from above and below, and a Markovian switching stochastic differential equation gives the state variable dynamic.
Beatris Adriana Escobedo-Trujillo +3 more
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Testing the Unbiased Forward Exchange Rate Hypothesis Using a Markov Switching Model and Instrumental Variables [PDF]
, 2003 This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing for the unbiased forward exchange rate (UFER) hypothesis. Using
Psaradakis, Z, Sola, M, Spagnolo, F
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Markov Switching Vector Autoregressive Modelling of the Nigerian Stock Price and Oil Price Series
Quantitative Economics Research, 2018 This article studied the relationship between stock prices and crude oil prices of Nigeria using a Markov switching model. Certain properties of the stock price series and crude oil price series such as breaks and stationarity, which are necessary before
Emmanuel W Okereke +1 more
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The economic performance of cities: A Markov-switching approach [PDF]
Journal of Urban Economics, 2006 Abstract This paper examines the determinants of employment growth in metro areas. To obtain growth rates, we use a Markov-switching model that separates a city's growth path into two distinct phases (high and low), each with its own growth rate. The simple average growth rate over some period is, therefore, the weighted average of the high-phase and
Michael T. Owyang +3 more
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IEEE AccessThis paper devotes to the almost sure quasi-synchronization of reaction-diffusion neural networks (RDNNs) with stochastic switching. Markov switching (MS) and independent and identically distributed switching (IIDS) are considered.
Haiqing Zhao, Lijun Pan
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Markov-Switching Three-Pass Regression Filter [PDF]
Journal of Business & Economic Statistics, 2017 We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. The new method, denoted as Markov-switching three-pass regression filter (MS-3PRF), is suitable for datasets with
Guérin, Pierre +2 more
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EARLY WARNING INDICATORS STUDY OF BANK RUNS IN INDONESIA : MARKOV-SWITCHING APPROACH
Buletin Ekonomi Moneter dan Perbankan, 2012 A run on a particular bank can lead to a banking crisis if it spreads to other banks (contagious effect). In the case of Indonesia, bank runs have also reoccurred time and again.
Iskandar Simorangkir
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