Are CDS spreads predictable during the Covid-19 pandemic? Forecasting based on SVM, GMDH, LSTM and Markov switching autoregression. [PDF]
Expert Syst Appl, 2022 Vukovic DB +3 more
europepmc +1 more source
Bayesian Methods in Nonlinear Time Series [PDF]
This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective.
Korenok Oleg
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The impact of coal combustion, nitrous oxide emissions, and traffic emissions on COVID-19 cases: a Markov-switching approach. [PDF]
Environ Sci Pollut Res Int, 2021 Anser MK +5 more
europepmc +1 more source
Measuring Business Cycle Turning Points in Japan with a Dynamic Markov Switching Factor Model [PDF]
In the dynamic factor model, a single unobserved factor common to some macroeconomic variables is defined as a composite index to measure business cycles.
Watanabe, Toshiaki
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Finite-Time Annular Domain Stability and Stabilization of Regime-Switching Jump Diffusion System
IEEE AccessIn this paper, the finite-time annular domain stability and stabilization of regime-switching jump diffusion system are discussed. With the help of explicit solution of multi-dimensional regime-switching jump diffusion system, we give the sufficient and ...
Ran Ni, Gui-Hua Zhao
doaj +1 more source
Indirect estimation of Markov switching models with endogenous switching [PDF]
Markov Switching models have been successfully applied to many economic problems. The most popular version of these models implies that the change in the state is driven by a Markov Chain and that the state is an exogenous discrete unobserved variable ...
Calzolari, Giorgio +2 more
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Regime switching models : real or spurious long memory ? [PDF]
In this paper, we analyze the possible confusion in terms of long memory behavior of the autocorrelation function of a Markov switching model. Such a model is known to have a short memory behavior.
Dominique Guegan, Stéphanie Rioublanc
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Modeling the volatility of Mediterranean stock markets: a regime-switching approach [PDF]
In this paper we use the Markov regime-switching model to investigate the volatility behavior of six Mediterranean stock markets (France, Spain, Greece, Egypt, Tunisia, and Turkey) over the turbulent period 1995-2010.
Duc Khuong Nguyen, Walid Chkili
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Common wave behavior for mergers and acquisitions in OECD countries? a unique analysis using new Markov switching panel model approach [PDF]
This paper investigates whether or not there is co-waved merger and acquisition (M&A) activity in 26 OECD countries. We apply the Markov Switching model to panel data (MSP hereafter), an approach which has not previously been attempted.
Chung-Hua Shen +2 more
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Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates [PDF]
This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes in the short-term interest rate ...
Gutiérrez Huerta, María José +1 more
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