Epidemic threshold of a COVID-19 model with gaussian white noise and semi-Markov switching. [PDF]
J Franklin Inst, 2023 Sun Q, Tan D, Zhang S.
europepmc +1 more source
Identifying and Forecasting the Turns of the Japanese Business Cycle [PDF]
In this paper we identify and try to predict the turning points of the Japanese business cycle. As a measure of the business cycle we use a composite economic indicator (CEI).
Konstantin A., Kholodilin
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COVID-19 and stock returns: Evidence from the Markov switching dependence approach. [PDF]
Res Int Bus Finance, 2023 Bouteska A, Sharif T, Abedin MZ.
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Convergence of stochastic process with Markov switching [PDF]
Математичні Студії, 2012 It has been established sufficient conditions for the convergence of a multi-dimensional stochastic process in the case of dependence of the regression function on the environment, which is described by Markov switchings.
O. I. Kiykovska, Ya. M. Chabanyuk
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Bayesian Analysis of Markov Switching Vector Error Correction Model [PDF]
This paper introduces a Bayesian approach to a Markov switching vector error correction model that allows for regime shifts in the intercept terms, the lag terms, the adjustment terms and the variance-covariance matrix.
Sugita, Katsuhiro
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Markov switching quadratic term structure models [PDF]
, 2013 In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process.
Goutte, Stéphane
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The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model. [PDF]
Entropy (Basel), 2023 Niu H, Xu K, Xiong M.
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Multivariate Regime–Switching GARCH with an Application to International Stock Markets [PDF]
We develop a multivariate generalization of the Markov–switching GARCH model introduced by Haas, Mittnik, and Paolella (2004b) and derive its fourth–moment structure.
Markus Haas, Stefan Mittnik
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Dynamic Effects of Crude Oil Price Movements: a Sectoral Examination [PDF]
Romanian Economic Journal, 2019 The study employs the Markov switching regression to examine the dynamic effects of crude oil price movements on sector returns in Saudi Arabia, the United Arab Emirates, China and India given the impact of the global factor. The evidence from the Markov
Isah Wada
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Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models [PDF]
This paper uses linear and non-linear diffusion index models and combination of them to produce one-step-ahead forecast of quarterly Brazilian GDP growth rate. The non-linear diffusion index models are not only parsimonious ones, but they also purport to
Herman Bierens +2 more
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