Results 11 to 20 of about 112,046 (197)
The Markov switching ACD model [PDF]
SSRN Electronic Journal, 2002 We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the ...
Hujer, Reinhard +2 more
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Long memory with Markov-Switching GARCH [PDF]
Economics Letters, 2008 The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation
Krämer, Walter
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Beveridge-Nelson Decomposition with Markov Switching [PDF]
, 2006 This paper considers Beveridge-Nelson decomposition in a context where the permanent and transitory components both follow a Markov switching process.
Chin Nam Low +2 more
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Markov regime switching and unit root tests [PDF]
SSRN Electronic Journal, 2000 We investigate the power and size performance of unit root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching trend ...
Charles Nelson +2 more
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Markov-switching generalized additive models [PDF]
Statistics and Computing, 2015 We consider Markov-switching regression models, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regime switching controlled by an unobservable Markov chain.
Glennie, Richard +3 more
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Misspecified Markov Switching Model [PDF]
Economics Bulletin, 2009 I characterize the local power of an optimal test for a Markov Switching model under generalized alternatives. The result shows that the test still has power for the model with endogenous stochastic parameters unless they are orthogonal to the score ...
Youngki Shin
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, 2021 Markov switching models are a family of models that introduces time variation in the parameters in the form of their state, or regime-specific values. This time variation is governed by a latent discrete-valued stochastic process with limited memory.
Song, Y, Woźniak, T
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Markov-Switching MIDAS Models [PDF]
Journal of Business & Economic Statistics, 2013 This article introduces a new regression model—Markov-switching mixed data sampling (MS-MIDAS)—that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models.
MARCELLINO, MASSIMILIANO, P. Guerin
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Applicationes Mathematicae, 1985 In a queueing network a point where a single stream of arrivals is split up into several output streams is called a switch. The behavior of a switch can be described by a stochastic process \((J_ n,Y_ n,X_ n)_{n\geq 0}\), where \(J_ n\) describes the type of the n-th customer, \(Y_ n\) the output stream he is directed to and \(X_ n\) the interarrival ...
Disney, R. L., McNickle, D. C.
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Optimal Hedge Ratio of Bahar Azadi Coin Futures: Application of Markov Regime Switching Models [PDF]
مدلسازی اقتصادسنجی, 2018 According to the importance of the hedging of gold coin market fluctuations, the purpose of this study is to estimate the minimize variance of optimal hedge ratios for Bahar Azadi coin futures contracts from period of 2013/12/17 to 2017/06/01 using ...
Mozhgan Maleki, Meysam Rafei
doaj +1 more source