Regime Tracking in Markets with Markov Switching
MathematicsThe object of the investigation is a model of the incomplete financial market. It includes a bank deposit with a known interest rate and basic risky securities.
Andrey Borisov
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DATING BUSINESS CYCLES IN LITHUANIA BY SIMPLE UNIVARIATE METHODS
Ekonomika, 2011 In this paper, we use three basic univariate techniques, namely, BBQ algorithm, time series filtering, and Markov-switching models, to date and characterize Lithuanian business cycles from 1995 to 2010.
Simas Kučinskas
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Epidemic threshold of a COVID-19 model with gaussian white noise and semi-Markov switching. [PDF]
J Franklin Inst, 2023 Sun Q, Tan D, Zhang S.
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Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model. [PDF]
This paper presents a new multivariate GARCH model with time-varying conditional correlation structure which is a generalization of the Regime Switching Dynamic Correlation (RSDC) of Pelletier (2006).
Philippe Charlot, Vêlayoudom Marimoutou
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COVID-19 and stock returns: Evidence from the Markov switching dependence approach. [PDF]
Res Int Bus Finance, 2023 Bouteska A, Sharif T, Abedin MZ.
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Optimal monetary policy with a regime-switching exchange rate in a forward-looking model [PDF]
We evaluate the macroeconomic performance of different monetary policy rules when there is exchange rate uncertainty. We do this in the context of a non-linear rational expectations model.
Fernando Alexandre +2 more
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Exponential Robust Consensus of Multiagent Systems with Markov Jump Parameters
Abstract and Applied Analysis, 2015 Exponential robust consensus of stochastic multiagent systems is studied. Coupling structures of multiagent systems are Markov jump switching; that is, multiagent systems contain Markov jump parameters.
He Zhang +3 more
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Ain Shams Engineering Journal, 2014 In this paper, we incorporate the idea of waveband switching in Mixed Line Rates (MLR) network design to address the problem of dynamic traffic grooming in waveband switching networks by investigating a cost function which take the effect of call holding
Tabarak allah Ali Mohamed +2 more
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The Risk Contagion between Chinese and Mature Stock Markets: Evidence from a Markov-Switching Mixed-Clayton Copula Model. [PDF]
Entropy (Basel), 2023 Niu H, Xu K, Xiong M.
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Markov-Switching and the Ifo Business Climate: The Ifo Business Cycle Traffic Lights [PDF]
Business cycle indicators are used to assess the economic situation of countries or regions. They are closely watched by the public, but are not easy to interpret. Does a current movement of the indicator signal a turning point or not?
Klaus Abberger, Wolfgang Nierhaus
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