Results 101 to 110 of about 112,046 (197)
Oil and the G7 business cycle : Friedman's Plucking Markov Switching Approach [PDF]
To analyze whether oil price can account for the business cycle asymmetries in the G7, this paper adopts the Friedman’s Plucking Markov Switching Model to decompose G7 real GDPs into common permanent components, common transitory components, infrequent ...
Jae Ho, Yoon
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BarekengIslamic 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
EUAs and CERs : Interactions in a Markov regime-switching environment. [PDF]
This paper analyzes jointly the time series of European Union Allowances (EUAs) and Certified Emissions Reductions (CERs) in a Markov regime-switching environment.
Chevallier, Julien
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Bitcoin Cycle through Markov Regime-Switching Model
Engineering ProceedingsWe 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 +2 more
doaj +1 more source
Pemodelan Markov Switching Autoregressive [PDF]
, 2014 Transition from depreciation to appreciation of exchange rate is one of regime switching that ignored by classic time series model, such as ARIMA, ARCH, or GARCH.
Ariyani, F. D. (Fiqria) +2 more
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Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates [PDF]
To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model.
Peter Tillmann
core +3 more sources
Frontiers in Applied Mathematics and StatisticsThis 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 +2 more
doaj +1 more source
Predicting the incidence of brucellosis in Western Iran using Markov switching model. [PDF]
BMC Res Notes, 2021 Mohammadian-Khoshnoud M +3 more
europepmc +1 more source
A structural Time Series Model with Markov Switching. [PDF]
We propose an innovations form of the structural model underlying exponential smoothing that is further augmented by a latent Markov switching process.
Forbes, C.S., Shami, R.G.
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Business Cycle Analysis with Multivariate Markov Switching Models [PDF]
The class of Markov switching models can be extended in two main directions in a multivariate framework. In the first approach, the switching dynamics are introduced by way of a common latent factor.
Jacques Anas +3 more
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