Results 101 to 110 of about 105,246 (202)
Bispectral Analysis of Markov Switching Bilinear Models
We derive matrix expressions in closed form for the spectral and bispectral densities of Markov switching bilinear models. Under suitable assumptions, we prove that the sample estimators of the spectral and bispectral density matrices are consistent and asymptotically normally distributed.
maddalena cavicchioli +2 more
openaire +1 more source
Modelling large dimensional datasets with Markov switching factor models
Journal of EconometricsWe study a novel large dimensional approximate factor model with regime changes in the loadings driven by a latent first order Markov process. By exploiting the equivalent linear representation of the model, we first recover the latent factors by means of Principal Component Analysis. We then cast the model in state-space form, and we estimate loadings
Barigozzi, Matteo, Massacci, Daniele
openaire +4 more sources
Markov Switching Model for Quick Detection of Event Related Desynchronization in EEG. [PDF]
Front Neurosci, 2018 Lisi G, Rivela D, Takai A, Morimoto J.
europepmc +1 more source
Is There a Positive Intertemporal Tradeoff Between Risk and Return After All? [PDF]
This paper develops an extended version of Turner, Startz, and Nelson's (1989) Markov-switching model of stock returns. The model is motivated as an alternative version of Campbell and Hentschel's (1992) volatility feedback model, with news about future ...
James Morley
core
On the Stability of the Wealth Effect [PDF]
Evidence of instability of the wealth effect in the USA is presented through the estimation of a Markov switching model of the long-run aggregate consumption function. The dating of the regimes appears to bear relation to movements in asset prices.
Fernando Alexandre +2 more
core
Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach [PDF]
Recent studies have showed that it is troublesome, in practice, to distinguish between long memory and nonlinear processes. Therefore, it is of obvious interest to try to capture both features of long memory and non-linearity into a single time series ...
Silvestro Di Sanzo
core
Application of Three Alternative Approaches to Identify Business Cycles in Peru [PDF]
Three alternative econometric approaches are used to estimate business cycles in the Peruvian economy. These approaches are the Plucking model due to Friedman (1964, 1993), the Markov Switching model proposed by Hamilton (1989) and the Smooth Transition ...
Rodriguez Gabriel
core
Do Leading Indicators Help to Predict Business Cycle Turning Points in Germany? [PDF]
Using a binary reference series based on the dating procedure of Artis, Kontolemis and Osborn (1997) different procedures for predicting turning points of the German business cycles were tested.
Ulrich Fritsche, Vladimir Kuzin
core
A Real Business Cycle Model with Changing Sentiments [PDF]
In this paper the modification of the real business cycles model in which risk aversion parameter of agents’ utility function follows bivariate markov chain is developed and estimated using simulated VAR. The model’s ability to replicate properties of US
Kirill Sossunov
core
Oil and the G7 business cycle : Friedman's Plucking Markov Switching Approach [PDF]
To analyze whether oil price can account for the business cycle asymmetries in the G7, this paper adopts the Friedman’s Plucking Markov Switching Model to decompose G7 real GDPs into common permanent components, common transitory components, infrequent ...
Jae Ho, Yoon
core