Modeling the volatility of Mediterranean stock markets: a regime-switching approach [PDF]
In this paper we use the Markov regime-switching model to investigate the volatility behavior of six Mediterranean stock markets (France, Spain, Greece, Egypt, Tunisia, and Turkey) over the turbulent period 1995-2010.
Duc Khuong Nguyen, Walid Chkili
core
PUNTOS DE GIRO EN LA ECONOMÍA ARGENTINA
Revista de Economía Política de Buenos Aires, 2017 RESUMEN En este artículo se utilizan diferentes técnicas para identificar los períodos recesivos y expansivos de la economía argentina que permitan establecer una cronología cíclica robusta en función de resultados proporcionados por diferentes métodos.
Cristian Rabanal
doaj
Non-linear Modelling of the Australian Business Cycle using a Leading Indicator [PDF]
This paper develops a new non-linear model to analyse the business cycle by exploiting the relationship between the asymmetrical behaviour of the cycle and leading indicators.
Catherine S. Forbes, Roland G. Shami
core
Cointegration and Regime-Switching Risk Premia in the US Term Structure of Interest Rates [PDF]
To date the cointegrating properties and the regime-switching behavior of the term structure are two separate strands of the literature. This paper integrates these lines of research and introduces regime shifts into a cointegrated VAR model.
Peter Tillmann
core +3 more sources
Nonlinearity and the permanent effects of recessions [PDF]
This paper presents a new nonlinear time series model that captures a post-recession “bounce-back” in the level of aggregate output. While a number of studies have examined this type of business cycle asymmetry using recession-based dummy variables and ...
Chang-Jin Kim +2 more
core
Are currency crises self-fulfilling? The case of Argentina [PDF]
, 2002 This paper analyzes the 2002 Argentine crisis using the Jeanne and Masson (2000) model with sunspots. Testing this model empirically through a Markov-switching model suggests that self-sulfilling prophecies is a reasonable explanation for the ...
Boinet, V, Napolitano, O, Spagnolo, N
core
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
core
Common wave behavior for mergers and acquisitions in OECD countries? a unique analysis using new Markov switching panel model approach [PDF]
This paper investigates whether or not there is co-waved merger and acquisition (M&A) activity in 26 OECD countries. We apply the Markov Switching model to panel data (MSP hereafter), an approach which has not previously been attempted.
Chung-Hua Shen +2 more
core
Modelling human control behaviour with a Markov-chain switched bank of control laws [PDF]
, 1998 A probabilistic model of human control behaviour is described. It assumes that human behaviour can be represented by switching among a number of relatively simple behaviours.
Murray-Smith, R.
core
Conditional Markov regime switching model applied to economic modelling
Economic Modelling, 2014 Abstract In this paper we discuss the calibration issues of regime switching models built on mean-reverting and local volatility processes combined with two Markov regime switching processes. In fact, the volatility structure of these models depends on a first exogenous Markov chain whereas the drift structure depends on a conditional Markov chain ...
openaire +2 more sources