Results 31 to 40 of about 14,010 (266)
Modelling foreign exchange rates: a comparison between markov-switching and markov-switching GARCH
Indonesian Journal of Electrical Engineering and Computer Science, 2020 Foreign exchange rate is important as it determines a country's economic condition. It is used to carry out transfers of purchasing power between two or more countries. Volatility in exchange rates may result in difficulty in decision making especially, in financial sectors as high volatility could increase the risk in exchange rates.
Nunian, Mohd Azizi Amin +2 more
openaire +2 more sources
Markov Switching in Disaggregate Unemployment Rates [PDF]
SSRN Electronic Journal, 2001 We develop a dynamic factor model with Markov switching to examine secular and business cycle fluctuations in the U.S. unemployment rates. We extract the common dynamics amongst unemployment rates disaggregated for 7 age groups. The framework allows analysis of the contribution of demographic factors to secular changes in unemployment rates.
Marcelle Chauvet +2 more
openaire +4 more sources
Exchange Rates and Markov Switching Dynamics [PDF]
SSRN Electronic Journal, 2004 This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior.
Yin-wong Cheung, Ulf G. Erlandsson
openaire +5 more sources
Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
EconomiA, 2016 The goal of this paper is to evaluate the behavior of the main parameters of the Brazilian economy through the estimation of an open-economy dynamic stochastic general equilibrium (DSGE) model using Bayesian methods and allowing for Markov switching of ...
Caio César Soares Gonçalves +2 more
doaj +1 more source
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 sufficient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often sum to almost one.
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Markov-Switching GARCH Models in R: The MSGARCH Package
Journal of Statistical Software, 2019 We describe the package MSGARCH, which implements Markov-switching GARCH (generalized autoregressive conditional heteroscedasticity) models in R with efficient C++ object-oriented programming.
David Ardia +4 more
doaj +1 more source
A Markov-Switching Model of Inflation in Bolivia [PDF]
Economies, 2021 The Bolivian inflation process is analyzed utilizing a time-varying univariate and multivariate Markov-switching model (TMS). With monthly data and, beginning in the late 1930s, inflation is accurately described by a univariate TMS. The intercept for the high-inflation regime is significantly higher than for the low-inflation regime and the actual ...
openaire +3 more sources
Statistical Theory and Related Fields, 2020 This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting.
Liming Zhang, Rongming Wang, Jiaqin Wei
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Portfolio selection using risk parity and factor analysis under markov regime-switching prope [PDF]
تصمیم گیری و تحقیق در عملیات, 2022 Purpose: Risk parity is one of the stock portfolio selection models that has received a lot of attention since the US national financial crisis in 2008. The philosophy of this model is to allocate an equal amount of portfolio risk between the assets.
Ebrahim Mirmohammadi +3 more
doaj +1 more source
Evaluation of fall‐seeded cover crops for grassland nesting waterfowl in eastern South Dakota
Wildlife Society Bulletin, EarlyView., 2023 Cover crops are experiencing a revival among Midwestern farmers, and we assessed their attractiveness and safety for nesting ducks in South Dakota. Nest success was markedly lower in cover crops than in perennial cover during both years of our study, including 2019 which was a best‐case scenario for cover crops, with extremely wet conditions delaying ...
Charles W. Gallman +3 more
wiley +1 more source