Results 11 to 20 of about 105,613 (301)
The Markov switching ACD model [PDF]
SSRN Electronic Journal, 2002 We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the ...
Hujer, Reinhard +2 more
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Markov-switching generalized additive models [PDF]
Statistics and Computing, 2015 We consider Markov-switching regression models, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regime switching controlled by an unobservable Markov chain.
Glennie, Richard +3 more
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Misspecified Markov Switching Model [PDF]
Economics Bulletin, 2009 I characterize the local power of an optimal test for a Markov Switching model under generalized alternatives. The result shows that the test still has power for the model with endogenous stochastic parameters unless they are orthogonal to the score ...
Youngki Shin
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Markov-Switching Model Selection Using Kullback-Leibler Divergence [PDF]
SSRN Electronic Journal, 2005 In Markov-switching regression models, we use Kullback-Leibler (KL) divergence between the true and candidate models to select the number of states and variables simultaneously.
Naik, Prasad A. +2 more
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Markov-Switching MIDAS Models [PDF]
Journal of Business & Economic Statistics, 2013 This article introduces a new regression model—Markov-switching mixed data sampling (MS-MIDAS)—that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models.
MARCELLINO, MASSIMILIANO, P. Guerin
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Granger-Causality in Markov Switching Models [PDF]
SSRN Electronic Journal, 2006 In this paper we propose a new parametrisation of transition probabilities that allows us to characterize and test Granger-causality in Markov switching models by means of an appropriate specification of the transition matrix. Test for independence are also provided. We illustrate our methodology with an empirical application.
BILLIO, Monica, DI SANZO S.
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Mathematics, 2022 This study applies a Markov switching error correction model to describe the single most important real exchange rate (Deutsche mark versus US dollar) over the flexible exchange rates period from 1973 to 2004.
Michael Frömmel +2 more
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Deep habits in an Iranian Markov-switching DSGE model [PDF]
International Journal of Business and Development Studies, 2023 This paper attempts to compare a Markov-Switching Dynamic Stochastic General Equilibrium (MS-DSGE) model by including deep habits consumption to a MS-DSGE model without deep habits. It is concluded that the deep habit adjusted model with regime switching
Hassan Heidari, Narmin Davoudi
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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
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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
doaj