Results 11 to 20 of about 105,246 (202)
Optimal Hedge Ratio of Bahar Azadi Coin Futures: Application of Markov Regime Switching Models [PDF]
مدلسازی اقتصادسنجی, 2018 According to the importance of the hedging of gold coin market fluctuations, the purpose of this study is to estimate the minimize variance of optimal hedge ratios for Bahar Azadi coin futures contracts from period of 2013/12/17 to 2017/06/01 using ...
Mozhgan Maleki, Meysam Rafei
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Markov-Switching MIDAS Models [PDF]
Journal of Business & Economic Statistics, 2013 This article introduces a new regression model—Markov-switching mixed data sampling (MS-MIDAS)—that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models.
MARCELLINO, MASSIMILIANO, P. Guerin
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Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model. [PDF]
PLoS ONE, 2018 In this paper, we propose a model for forecasting Value-at-Risk (VaR) using a Bayesian Markov-switching GJR-GARCH(1,1) model with skewed Student's-t innovation, copula functions and extreme value theory.
Marius Galabe Sampid +2 more
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SAGE Open, 2022 This study involved a systematic literature review using bibliometric analysis to examine the evolution and current trends of Markov switching studies. The bibliometric analysis was used for the descriptive, intellectual, social, and conceptual network ...
Seuk Wai Phoong +2 more
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Mathematics, 2022 This study applies a Markov switching error correction model to describe the single most important real exchange rate (Deutsche mark versus US dollar) over the flexible exchange rates period from 1973 to 2004.
Michael Frömmel +2 more
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Deep habits in an Iranian Markov-switching DSGE model [PDF]
International Journal of Business and Development Studies, 2023 This paper attempts to compare a Markov-Switching Dynamic Stochastic General Equilibrium (MS-DSGE) model by including deep habits consumption to a MS-DSGE model without deep habits. It is concluded that the deep habit adjusted model with regime switching
Hassan Heidari, Narmin Davoudi
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Granger-Causality in Markov Switching Models [PDF]
SSRN Electronic Journal, 2006 In this paper we propose a new parametrisation of transition probabilities that allows us to characterize and test Granger-causality in Markov switching models by means of an appropriate specification of the transition matrix. Test for independence are also provided. We illustrate our methodology with an empirical application.
BILLIO, Monica, DI SANZO S.
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Modeling and forecasting of rainfall reoccurrence changes using Markov Switching in Iran
SN Applied Sciences, 2021 This paper represents the recurrence (reoccurrence) changes in the rainfall series using Markov Switching models (MSM). The switching employs a dynamic pattern that allows a linear model to be combined with nonlinearity models a discrete structure.
Majid Javari
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A Markov-Switching Model of Inflation in Bolivia
Economies, 2021 The Bolivian inflation process is analyzed utilizing a time-varying univariate and multivariate Markov-switching model (TMS). With monthly data and, beginning in the late 1930s, inflation is accurately described by a univariate TMS. The intercept for the
Antonio N. Bojanic
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Understanding Markov-Switching Rational Expectations Models [PDF]
SSRN Electronic Journal, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Roger E.A. Farmer +2 more
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