Results 91 to 100 of about 111,800 (195)

ENHANCING STOCK PORTFOLIO PERFORMANCE USING MARKOV-SWITCHING MODELS AND CANDLESTICK PATTERNS FOR LONG-TERM INVESTMENT

Barekeng
Islamic stocks in Indonesia face challenges in portfolio management due to the limited number of issuers and low diversification. The change in market regime from bullish to bearish makes the portfolio more vulnerable, especially since some investors do ...
Denny Nurdiansyah, Agus Sulistiawan
doaj   +1 more source

Carbon emissions and sustainability in Covid-19's waves: evidence from a two-state dynamic Markov-switching regression (MSR) model. [PDF]

Ann Oper Res, 2023
Konstantakis KN, Michaelides PG, Michaelides PG, Xidonas P, Yfanti S.   +4 more
europepmc   +1 more source

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

Bitcoin Cycle through Markov Regime-Switching Model

Engineering Proceedings
We analyzed Bitcoin’s cyclical patterns used by the Markov regime-switching model and explored the impacts of inflation and the US Dollar Index on Bitcoin’s cyclicality.
Yi-Chun Shih, Wen-Tsung Huang, Pao-Peng Hsu   +2 more
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

A Semi-Markov Modulated Interest Rate Model

, 2012
In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process.
D'Amico, Guglielmo, Manca, Raimondo, Salvi, Giovanni   +2 more
core   +1 more source

A discrete-time model that weakly converges to a continuous-time geometric Brownian motion with Markov switching drift rate

Frontiers in Applied Mathematics and Statistics
This research is devoted to studying a geometric Brownian motion with drift switching driven by a 2 × 2 Markov chain. A discrete-time multiplicative approximation scheme was developed, and its convergence in Skorokhod topology to the continuous-time ...
Vitaliy Golomoziy, Yuliya Mishura, Kamil Kladívko   +2 more
doaj   +1 more source

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

Bayesian Analysis of Markov Switching Vector Error Correction Model [PDF]

This paper introduces a Bayesian approach to a Markov switching vector error correction model that allows for regime shifts in the intercept terms, the lag terms, the adjustment terms and the variance-covariance matrix.
Sugita, Katsuhiro
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