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.
europepmc +1 more source
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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Convergence of stochastic process with Markov switching [PDF]
Математичні Студії, 2012 It has been established sufficient conditions for the convergence of a multi-dimensional stochastic process in the case of dependence of the regression function on the environment, which is described by Markov switchings.
O. I. Kiykovska, Ya. M. Chabanyuk
doaj
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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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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Dynamic Effects of Crude Oil Price Movements: a Sectoral Examination [PDF]
Romanian Economic Journal, 2019 The study employs the Markov switching regression to examine the dynamic effects of crude oil price movements on sector returns in Saudi Arabia, the United Arab Emirates, China and India given the impact of the global factor. The evidence from the Markov
Isah Wada
doaj
The Spectral Representation of Markov-Switching Arma Models [PDF]
In this paper we propose a method to derive the spectral representation in the case of a particular class of nonlinear models: Markov Switching ARMA models.
Beatrice Pataracchia
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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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Carbon emissions and sustainability in Covid-19's waves: evidence from a two-state dynamic Markov-switching regression (MSR) model. [PDF]
Ann Oper Res, 2023 Konstantakis KN +4 more
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Bayesian Analysis of Markov Switching Vector Error Correction Model [PDF]
This paper introduces a Bayesian approach to a Markov switching vector error correction model that allows for regime shifts in the intercept terms, the lag terms, the adjustment terms and the variance-covariance matrix.
Sugita, Katsuhiro
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