Results 1 to 10 of about 13,921 (215)
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
SAGE Open, 2022 This study involved a systematic literature review using bibliometric analysis to examine the evolution and current trends of Markov switching studies. The bibliometric analysis was used for the descriptive, intellectual, social, and conceptual network ...
Seuk Wai Phoong, Seuk Yen Phoong
exaly +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
Optimal control of multiple Markov-switching stochastic systems with numerical applications
Results in Control and Optimization, 2022 In this article the authors set up an optimal control framework for a hybrid stochastic system with dual or multiple Markov switching diffusion processes, while Markov chains governing these switching diffusions are not identical as assumed in the ...
Jianmin Shi
doaj +1 more source
Switching Control of Closed-Loop Supply Chain Systems with Markov Jump Parameters
Applied Sciences, 2023 The switching system model of a closed-loop supply chain with Markov jump parameters is established. The system is modeled as a switching system with Markov jump parameters, taking into account the uncertainties of the process and the inventory decay ...
Huiming Wu, Sicong Guo
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Fault-Tolerant Control of Second-Order Nonlinear Multi-Agent Formation Under Markov Switching Topology [PDF]
Jisuanji gongcheng, 2023 To solve the problems of communication signal loss and controller failure in the formation control of multi-agent systems, this paper proposes a fault-tolerant control protocol for second-order nonlinear multi-agent system leader-follower formation with ...
Lingcong OUYANG, Kaijun YANG, Zhixiong ZHANG
doaj +1 more source
IET Cyber-systems and Robotics, 2021 This article focuses on H ∞ containment control and the communication network topologies that are driven by a semi‐Markov chain. Moreover, the communication channels between agents exist time‐varying delays and noise.
Xinfeng Ru +4 more
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Modeling and forecasting of rainfall reoccurrence changes using Markov Switching in Iran
SN Applied Sciences, 2021 This paper represents the recurrence (reoccurrence) changes in the rainfall series using Markov Switching models (MSM). The switching employs a dynamic pattern that allows a linear model to be combined with nonlinearity models a discrete structure.
Majid Javari
doaj +1 more source
IEEE Access, 2022 In this paper, couple-group consensus is investigated for a kind of heterogeneous multi-agent systems (HMASs) with Markov switching. Some novel couple-group consensuses have been proposed, in which cooperative-competitive interaction, Markov switching ...
Xingcheng Pu, Lingxia Zhang, Xia Sun
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Optimal Hedge Ratio of Bahar Azadi Coin Futures: Application of Markov Regime Switching Models [PDF]
مدلسازی اقتصادسنجی, 2018 According to the importance of the hedging of gold coin market fluctuations, the purpose of this study is to estimate the minimize variance of optimal hedge ratios for Bahar Azadi coin futures contracts from period of 2013/12/17 to 2017/06/01 using ...
Mozhgan Maleki, Meysam Rafei
doaj +1 more source