Results 111 to 120 of about 14,010 (266)
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
Pacific Economic Review, EarlyView.ABSTRACT This study investigates the impact of China's recent real estate crisis, stemming from Evergrande's struggles, on the return and risk profiles of US‐listed exchange traded funds (ETFs) tracking Chinese stock market indexes. Analysing 26 funds from February 2, 2018 to December 31, 2024, we first employ a VAR model to assess contagion and ...
Gerasimos Rompotis +2 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 +3 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
Real Estate Economics, EarlyView.Abstract We estimate the price impact of very nearby concurrently listed properties in the Sydney housing market and assess their competition effects. We apply a hedonic model with spatiotemporal effects regularized via a graph Laplacian prior at the month‐by‐SA2 regional level to seven SA4 subregions of metropolitan Sydney. The model structure enables
Willem P. Sijp, Mengheng Li
wiley +1 more source
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
Behavioural state identification from ultra‐high‐frequency movement data
Methods in Ecology and Evolution, EarlyView.Abstract The hidden Markov model (HMM) is a central framework for identifying behavioural state changes from animal movement data. In this context, movement is typically represented as a sequence of observed metrics, such as step length and turning angle distributions, generated by an unobserved behavioural state process.
Abdulmajeed F. Alharbi +4 more
wiley +1 more source
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
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Flexible unimodal density estimation in hidden Markov models
Methods in Ecology and Evolution, EarlyView.Abstract Hidden Markov models (HMMs) are powerful tools for modelling time‐series data with underlying state structure. However, selecting appropriate parametric forms for the state‐dependent distributions is often challenging and can lead to model misspecification.
Jan‐Ole Fischer +5 more
wiley +1 more source
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