Results 51 to 60 of about 112,046 (197)
Stationarity of multivariate Markov–switching ARMA models [PDF]
Journal of Econometrics, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Christian Francq, Jean-Michel Zakoïan
openaire +3 more sources
Markov Switching Vector Autoregressive Modelling of the Nigerian Stock Price and Oil Price Series
Quantitative Economics Research, 2018 This article studied the relationship between stock prices and crude oil prices of Nigeria using a Markov switching model. Certain properties of the stock price series and crude oil price series such as breaks and stationarity, which are necessary before
Emmanuel W Okereke +1 more
doaj +1 more source
The Effect of Trade Volume on TEPIX Index in Bear and Bull Cycles: An Application of Markov-Switching Model [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2014 In this paper, the effect of trade volume on TEPIX index is investigated based on bull and bear cycles of Tehran stock Exchange (TSE) using nonlinear Markov-Switching model.
Abbas Kalantari, Navid Khalil Paktinat
doaj
EARLY WARNING INDICATORS STUDY OF BANK RUNS IN INDONESIA : MARKOV-SWITCHING APPROACH
Buletin Ekonomi Moneter dan Perbankan, 2012 A run on a particular bank can lead to a banking crisis if it spreads to other banks (contagious effect). In the case of Indonesia, bank runs have also reoccurred time and again.
Iskandar Simorangkir
doaj +1 more source
MARKOV SWITCHING AUTOREGRESSIVE
Jurnal EurekaMatika, 2014 Runtun waktu ialah himpunan observasi yang dicatat berurut berdasarkan waktu. Tujuan dari metode runtun waktu ialah menemukan model yang sesuai sehingga didapatkan hasil peramalan yang baik. Salah satu model runtun waktu yang telah dikenal adalah Autoregressive.
Rahman, Jaelani +2 more
openaire +1 more source
Theory and inference for a Markov switching GARCH model [PDF]
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity
BAUWENS, Luc +2 more
core +3 more sources
IEEE AccessThis paper devotes to the almost sure quasi-synchronization of reaction-diffusion neural networks (RDNNs) with stochastic switching. Markov switching (MS) and independent and identically distributed switching (IIDS) are considered.
Haiqing Zhao, Lijun Pan
doaj +1 more source
KAJIAN INDIKATOR PERINGATAN DINI BANK RUNS DI INDONESIA: PENDEKATAN MARKOV-SWITCHING
Buletin Ekonomi Moneter dan Perbankan, 2012 A run on a particular bank can lead to a banking crisis if it spreads to other banks (contagious effect). In the case of Indonesia, bank runs have also reoccurred time and again.
Iskandar Simorangkir
doaj +1 more source
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
, 1999 Economists continue to debate the importance of nonlinearity to their discipline. When it comes to forecasting levels, unit roots seems to be quite prevalent, and there has been a great deal of skepticism about nonlinear models. See the arguments pro and con in Ramsey (1996).
Mizrach, Bruce, Watkins, James
openaire +2 more sources