Results 1 to 10 of about 111,800 (195)
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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Optimal Portfolio Selection in an Itô–Markov Additive Market
Risks, 2019 We study a portfolio selection problem in a continuous-time Itô–Markov additive market with prices of financial assets described by Markov additive processes that combine Lévy processes and regime switching models.
Zbigniew Palmowski +2 more
doaj +3 more sources
Long memory with Markov-Switching GARCH [PDF]
Economics Letters, 2008 The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation
Krämer, Walter
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Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model. [PDF]
PLoS ONE, 2018 In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student's-t innovation, copula functions and extreme value theory.
Marius Galabe Sampid +2 more
doaj +2 more sources
Beveridge-Nelson Decomposition with Markov Switching [PDF]
, 2006 This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process.
Chin Nam Low +2 more
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Markov regime switching and unit root tests [PDF]
SSRN Electronic Journal, 2000 We investigate the power and size performance of unit root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching trend ...
Charles Nelson +2 more
core +3 more sources
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
core +5 more sources
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
core +1 more source
Time trends and persistence of the return difference between growth and value investment strategies. [PDF]
PLoS ONEThis paper examines the dynamic disequilibrium between value investing and growth strategies, focusing on the structural changes induced by the COVID-19 pandemic.
Manuel Monge +2 more
doaj +2 more sources
Comparing the different types of Markov switching model for Euro to Iran Rial exchange rate [PDF]
Mathematics and Modeling in Finance, 2021 According to the rule of equality of equal prices, the price of a foreign commodity within a country depends on the price of the commodity at the origin as well as the exchange rate of that country.
Mahdi Pourrafiee +3 more
doaj +1 more source