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A Markov-Switching Model of Inflation in Bolivia
Economies, 2021 The Bolivian inflation process is analyzed utilizing a time-varying univariate and multivariate Markov-switching model (TMS). With monthly data and, beginning in the late 1930s, inflation is accurately described by a univariate TMS. The intercept for the
Antonio N. Bojanic
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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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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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Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
EconomiA, 2016 The goal of this paper is to evaluate the behavior of the main parameters of the Brazilian economy through the estimation of an open-economy dynamic stochastic general equilibrium (DSGE) model using Bayesian methods and allowing for Markov switching of ...
Caio César Soares Gonçalves +2 more
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Frontiers in Energy Research, 2021 The rapid development of wind energy has brought a lot of uncertainty to the power system. The accurate ultra-short-term wind power prediction is the key issue to ensure the stable and economical operation of the power system.
Hang Fan +3 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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Statistical Theory and Related Fields, 2020 This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting.
Liming Zhang, Rongming Wang, Jiaqin Wei
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Volatility spillover in crude oil market using Heston switching Clayton model [PDF]
Mathematics and Modeling in Finance, 2023 The purpose of this study is to investigate the effects and risk spillover from the global crude oil market on Tehran Stock Exchange Oil Group. For this purpose, we used a combination of copula models and switching models in this research. First, we will
Soheil Salimi Nasab +2 more
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Adding flexibility to Markov Switching models [PDF]
Statistical Modelling, 2016 Abstract: Very often time series are subject to abrupt changes in the level, which are generally represented by Markov Switching (MS) models, assuming that the level is constant within a certain state (regime). This is not a realistic framework because in the same regime the level could change with minor jumps with respect to a change of state; this ...
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Explicit-Duration Markov Switching Models [PDF]
Foundations and Trends® in Machine Learning, 2014 Markov switching models (MSMs) are probabilistic models that employ multiple sets of parameters to describe different dynamic regimes that a time series may exhibit at different periods of time. The switching mechanism between regimes is controlled by unobserved random variables that form a first-order Markov chain.
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