Results 91 to 100 of about 112,046 (197)

Markov switching multiple-equation tensor regressions

Journal of Multivariate Analysis
We propose a new flexible tensor model for multiple-equation regression that accounts for latent regime changes. The model allows for dynamic coefficients and multi-dimensional covariates that vary across equations. We assume the coefficients are driven by a common hidden Markov process that addresses structural breaks to enhance the model flexibility ...
Casarin, Roberto, Craiu, Radu V., Wang, Qing   +2 more
openaire   +2 more sources

Ergodic stationary distribution and extinction of stochastic pertussis model with immune and Markov switching

Electronic Research Archive
Temperature, humidity, and other environmental factors can influence the spread of diseases. To investigate the impact of environmental perturbations and state changes on pertussis, this study established a random pertussis model with immunity and Markov
Jia Chen, Yuming Chen, Qimin Zhang
doaj   +1 more source

A Markov Switching Approach in Assessing Oil Price and Stock Market Nexus in the Last Decade: The Impact of the COVID-19 Pandemic. [PDF]

Sage Open, 2023
Phoong SW, Mahi MA, Phoong SY.
europepmc   +1 more source

Multivariate Markov switching with weighted regime determination: giving France more weight than Finland [PDF]

This article deals with using panel data to infer regime changes that are common to all of the cross section. The methods presented here apply to Markov switching vector autoregressions, dynamic factor models with Markov switching and other multivariate ...
Martin Sola, Michael J. Dueker
core  

Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis. [PDF]

J Quant Econ, 2021
Dua P, Tuteja D.
europepmc   +1 more source

Markov-Switching and the Ifo Business Climate: The Ifo Business Cycle Traffic Lights [PDF]

Business cycle indicators are used to assess the economic situation of countries or regions. They are closely watched by the public, but are not easy to interpret. Does a current movement of the indicator signal a turning point or not?
Klaus Abberger, Wolfgang Nierhaus
core  

The evolution of happiness pre and peri-COVID-19: A Markov Switching Dynamic Regression Model. [PDF]

PLoS One, 2021
Rossouw S, Greyling T, Adhikari T.
europepmc   +1 more source

A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter [PDF]

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the
Wen-Jen Tsay, Wolfgang Härdle
core  

Markov-Switching MIDAS Models [PDF]

This paper 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 ...
Massimiliano Marcellino, Pierre Guerin
core  

Using GAM functions and Markov-Switching models in an evaluation framework to assess countries' performance in controlling the COVID-19 pandemic. [PDF]

BMC Public Health, 2021
de Oliveira AMB, Binner JM, Mandal A, Kelly L, Power GJ.   +4 more
europepmc   +1 more source