Results 111 to 120 of about 112,777 (296)

Regime Tracking in Markets with Markov Switching

Mathematics
The object of the investigation is a model of the incomplete financial market. It includes a bank deposit with a known interest rate and basic risky securities.
Andrey Borisov
doaj   +1 more source

DATING BUSINESS CYCLES IN LITHUANIA BY SIMPLE UNIVARIATE METHODS

Ekonomika, 2011
In this paper, we use three basic univariate techniques, namely, BBQ algorithm, time series filtering, and Markov-switching models, to date and characterize Lithuanian business cycles from 1995 to 2010.
Simas Kučinskas
doaj   +1 more source

Epidemic threshold of a COVID-19 model with gaussian white noise and semi-Markov switching. [PDF]

J Franklin Inst, 2023
Sun Q, Tan D, Zhang S.
europepmc   +1 more source

Nowcasting World Trade With Machine Learning: A Three‐Step Approach

Journal of Forecasting, EarlyView.
ABSTRACT We nowcast world trade using machine learning, distinguishing between tree‐based methods (random forest and gradient boosting) and their linear‐regression‐based counterparts (macroeconomic random forest and gradient boosting—linear). While much less used in the literature, the latter are found to outperform not only the tree‐based techniques ...
Menzie Chinn, Baptiste Meunier, Sebastian Stumpner   +2 more
wiley   +1 more source

COVID-19 and stock returns: Evidence from the Markov switching dependence approach. [PDF]

Res Int Bus Finance, 2023
Bouteska A, Sharif T, Abedin MZ.
europepmc   +1 more source

Uncertainty about the Persistence of Cost-Push Shocks and the Optimal Reaction of the Monetary Authority. [PDF]

In this paper we formalize the uncertainty about the persistence of cost-push shocks using an open economy optimal control model with Markov regime-switching and robust control.
Arnulfo Rodríguez, Fidel González, Jesús R. González García   +2 more
core  

Risk Transmission and Co‐Movements Between Financial Markets and Commodity Markets in the COVID‐19 Period

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study examines risk transmission and co‐movements between financial markets (G7 countries and China) and commodity markets (gold and oil) during the COVID‐19 crisis. Daily closing prices for major equity indices (CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500) and futures prices for gold, brent and WTI were analysed using DCC ...
V. Moutinho, H. Oliveira, M. Neves, J. Monteiro   +3 more
wiley   +1 more source

Exponential Robust Consensus of Multiagent Systems with Markov Jump Parameters

Abstract and Applied Analysis, 2015
Exponential robust consensus of stochastic multiagent systems is studied. Coupling structures of multiagent systems are Markov jump switching; that is, multiagent systems contain Markov jump parameters.
He Zhang, Huihui Ji, Zhiyong Ye, Tan Senping   +3 more
doaj   +1 more source

Multi-granularity grooming using timing information in optical networks with waveband and TDM switching

Ain Shams Engineering Journal, 2014
In this paper, we incorporate the idea of waveband switching in Mixed Line Rates (MLR) network design to address the problem of dynamic traffic grooming in waveband switching networks by investigating a cost function which take the effect of call holding
Tabarak allah Ali Mohamed, Salwa El-Sabban, Gamal Abdel Fadeel Mohamed Khalaf   +2 more
doaj   +1 more source

The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model. [PDF]

Entropy (Basel), 2023
Niu H, Xu K, Xiong M.
europepmc   +1 more source