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The multi-chain Markov switching model
Journal of Forecasting, 2005In many real phenomena the behaviour of a certain variable, subject to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a particular multivariate Markov switching model is developed
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Markov switching stochastic frontier model
The Econometrics Journal, 2004Summary: In this paper, we propose a new approach to stochastic frontier models, viz., a Markov switching structure to accommodate cross-sectional parameter heterogeneity and temporal variation in the parameters and technical inefficiency distributions.
Tsionas, Efthymios G. +1 more
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A Stochastic Volatility Model With Markov Switching
Journal of Business & Economic Statistics, 1998This article presents a new way of modeling time-varying volatility. We generalize the usual stochastic volatility models to encompass regime-switching properties. The unobserved state variables are governed by a first-order Markov process. Bayesian estimators are constructed by Gibbs sampling.
Li, WK, So, MKP, Lam, K
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Offline fitting Markov switching model
Model Assisted Statistics and Applications, 2019Markov regime switching models remain enormously popular in speech recognition, economics, finance, etc. Nonparametric segmentation in switching models without probability assignment of jump moments is in many papers by Brodsky and Darkhovsky. We model all regimes as long SCOT strings.
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Nonstationarities and Markov Switching Models
2013This paper proposes a flexible model that allows for recent changes observed in the US business cycle in the last six decades. It proposes a Markov switching model with three Markov processes to characterize the dynamics of US output fluctuations. We consider the possibility that both the mean and the variance of growth rates of real GDP can have short
Marcelle Chauvet, Yanpin Su
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This thesis displays a presentation of the Hamilton's Markov Switching model both in simple and State Space form. Moreover, the model is applied in the India's GDP and DJIA Index using R. This thesis is based on three chapters of Markov Switching models.
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Results from Markov Switching Models
2016In a symmetrical approach to what we do in Chapter 4, in this chapter, we estimate two MSVAR models, one for the yields and one for the spreads. First, we present our specification search, which in this case concerns not only the appropriate number of lags, but also the most adequate type of Markov switching model and the appropriate number of regimes.
Viola Fabbrini +2 more
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Research on Markov-Switching model
2011 International Conference on Multimedia Technology, 2011On analyzing the basic thought of the parameter estimates of Markov switching model, and researching on the derivation of likelihood function, This paper deduces the smooth probability and the expected duration of the state variable of Markov-Switching model, so as to provide a reference for other researchers.
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Markov Switching Time Series Models
2012Abstract We give a review of time series with regime-switching, which look stationary over limited time intervals, but where the data-generating mechanism may suddenly change sometimes. After briefly discussing observation driven switching, we focus on Markov switching where changes are controlled by a hidden Markov chain.
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Spectral density of Markov-switching VARMA models
Economics Letters, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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