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
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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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
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
core
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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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
core
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
core +1 more source
PUNTOS DE GIRO EN LA ECONOMÍA ARGENTINA
Revista de Economía Política de Buenos Aires, 2017 RESUMEN En este artículo se utilizan diferentes técnicas para identificar los períodos recesivos y expansivos de la economía argentina que permitan establecer una cronología cíclica robusta en función de resultados proporcionados por diferentes métodos.
Cristian Rabanal
doaj
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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Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom [PDF]
This paper conducts a systematic investigation of parameter instability in a small open economy DSGE model of the UK economy over the past thirty-five years.
Ronald MacDonald, Xiaoshan Chen
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