Results 161 to 170 of about 112,046 (197)

Optimal Test for Markov Switching Parameters

Econometrica, 2014
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Carrasco, Marine, Hu, Liang, Ploberger, Werner   +2 more
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Markov switching and exchange rate predictability

International Journal of Forecasting, 2011
Abstract We first show that the recent success of modern macroeconomic models in forecasting nominal exchange rates, evaluated using the  Clark and West (2006) inference procedure, is partly due to the presence of the constant term (drift), in addition to the economic fundamentals.
Alex Nikolsko-Rzhevskyy, Ruxandra Prodan
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Markov Switching GARCH Diffusion [PDF]

, 2008
GARCH option pricing models have the advantage of a well-established econometric foundation. However, multiple states need to be introduced as single state GARCH and even Levy processes are unable to explain the term structure of the moments of financial data.
Carol Alexander, Emese Lazar
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Testing Markov switching models

Applied Economics, 2014
In this article, we propose a new test for Markov switching models. Unlike the tests in the existing literature (e.g. Hansen, 1992; Garcia, 1998; Cho and White, 2007), we focus on testing the null of two regimes, instead of one single regime, in a switching framework.
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Markov Switching Models

This thesis displays a presentation of the Hamilton's Markov Switching model both in simple and State Space form. Moreover, the model is applied in the India's GDP and DJIA Index using R. This thesis is based on three chapters of Markov Switching models.
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The multi-chain Markov switching model

Journal of Forecasting, 2005
In many real phenomena the behaviour of a certain variable, subject to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a particular multivariate Markov switching model is developed
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Markov Switching Tensor Regressions

A new flexible tensor-on-tenor regression model that accounts for latent regime changes is proposed. The coefficients are driven by a common hidden Markov process that addresses structural breaks to enhance the model's flexibility and preserve parsimony.
Casarin, Roberto, Craiu, Radu, Wang, Qing   +2 more
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Switching Between Chartists And Fundamentalists: A Markov Regime-Switching Approach

SSRN Electronic Journal, 1996
Depuis le début des années 80, les modèles fondés sur les facteurs économiques fondamentaux n'ont guère contribué à expliquer les variations du taux de change (Messe 1990). Devant ce problème, Frankel et Froot (1988) ont élaboré un modèle dans lequel ils ont utilisé deux approches de prévision du taux de change : l'approche fondamentaliste, dans ...
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Markov Switching Rationality

2023
Florens Odendahl, Barbara Rossi, Tatevik Sekhposyan   +2 more
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Indirect Estimation of Markov Switching Models with Endogenous Switching [PDF]

, 2005
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. This hypothesis seems to be too restrictive.
OTRANTO E, CALZOLARI, GIORGIO, DI IORIO F.   +2 more
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