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Structural vector autoregressions with Markov switching [PDF]
Journal of Economic Dynamics and Control, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
LUETKEPOHL, Helmut +2 more
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Understanding Markov-Switching Rational Expectations Models [PDF]
SSRN Electronic Journal, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Roger E.A. Farmer +2 more
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MathematicsRegime switching models have been widely studied for their ability to capture the dynamic behavior of time series data and are widely used in economic and financial data analysis.
Zhenni Tan, Yuehua Wu
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MARKOV SWITCHING AND THE TAYLOR PRINCIPLE [PDF]
Macroeconomic Dynamics, 2013 Early research on the Taylor rule typically divided the data exogenously into pre-Volcker and Volcker–Greenspan subsamples. We contribute to the recent trend of endogenizing changes in monetary policy by estimating a real-time forward-looking Taylor rule with endogenous Markov switching coefficients and variance.
Christian Murray +2 more
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Markov Switching Model for Financial Time Series [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 Modeling financial time series is an important step for its forecast and risk evaluation when financial assets are involved. In this context, this article presents a Markov Switching Model for BET series recorded during the period Oct-2000 - Sept-2014 ...
Alina Barbulescu +1 more
doaj
Optimal Control with Partially Observed Regime Switching: Discounted and Average Payoffs
Mathematics, 2022 We consider an optimal control problem with the discounted and average payoff. The reward rate (or cost rate) can be unbounded from above and below, and a Markovian switching stochastic differential equation gives the state variable dynamic.
Beatris Adriana Escobedo-Trujillo +3 more
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Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution [PDF]
, 2012 Includes bibliographical references.This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution.
Mazviona, Batsirai Winmore
core
Optimal Forecasts from Markov Switching Models [PDF]
Journal of Business & Economic Statistics, 2014 We derive forecasts for Markov switching models that are optimal in the MSFE sense by means of weighting observations. We provide analytic expressions of the weights conditional on the Markov states and conditional on state probabilities. This allows us to study the effect of uncertainty around states on forecasts.
Boot, Tom, Pick, Andreas
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Advanced Optical Materials, EarlyView.A dual‐domain PSLC architecture enables direct comparison of alignment‐dependent laser damage within a single device. Crack‐like and seal‐like morphologies emerge under different damage conditions, and their evolution is interpreted through quantitative image analysis and heat‐driven simulations.
Dengcheng Chen +4 more
wiley +1 more source
Learning Highly Dynamic Skills Transition for Quadruped Jumping Through Constrained Space
Advanced Robotics Research, EarlyView.A quadruped robot masters dynamic jumps through constrained spaces with animal‐inspired moves and intelligent vision control. This hierarchical learning approach combines imitation of biological agility with real‐time trajectory planning. Although legged animals are capable of performing explosive motions while traversing confined spaces, replicating ...
Zeren Luo +6 more
wiley +1 more source