Results 281 to 290 of about 553,591 (343)

Markov switching stochastic frontier model

The Econometrics Journal, 2004
Summary: In this paper, we propose a new approach to stochastic frontier models, viz., a Markov switching structure to accommodate cross-sectional parameter heterogeneity and temporal variation in the parameters and technical inefficiency distributions.
Tsionas, Efthymios G., Kumbhakar, Subal C.   +1 more
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Geopolitical risk and oil price volatility: Evidence from Markov-switching model

International Review of Economics & Finance, 2022
Lihua Qian, Qing Zeng, Tao Li
semanticscholar   +1 more source

Indirect Estimation of Markov Switching Models with Endogenous Switching [PDF]

, 2005
Markov Switching models have been successfully applied to many economic problems. The most popular version of these models implies that the change in the state is driven by a Markov Chain and that the state is an exogenous discrete unobserved variable. This hypothesis seems to be too restrictive.
OTRANTO E, CALZOLARI, GIORGIO, DI IORIO F.   +2 more
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Offline fitting Markov switching model

Model Assisted Statistics and Applications, 2019
Markov regime switching models remain enormously popular in speech recognition, economics, finance, etc. Nonparametric segmentation in switching models without probability assignment of jump moments is in many papers by Brodsky and Darkhovsky. We model all regimes as long SCOT strings.
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Nonstationarities and Markov Switching Models

2013
This paper proposes a flexible model that allows for recent changes observed in the US business cycle in the last six decades. It proposes a Markov switching model with three Markov processes to characterize the dynamics of US output fluctuations. We consider the possibility that both the mean and the variance of growth rates of real GDP can have short
Marcelle Chauvet, Yanpin Su
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A Stochastic Volatility Model With Markov Switching

Journal of Business & Economic Statistics, 1998
This article presents a new way of modeling time-varying volatility. We generalize the usual stochastic volatility models to encompass regime-switching properties. The unobserved state variables are governed by a first-order Markov process. Bayesian estimators are constructed by Gibbs sampling.
Li, WK, So, MKP, Lam, K
openaire   +3 more sources

Markov Switching Models

This thesis displays a presentation of the Hamilton's Markov Switching model both in simple and State Space form. Moreover, the model is applied in the India's GDP and DJIA Index using R. This thesis is based on three chapters of Markov Switching models.
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Results from Markov Switching Models

2016
In a symmetrical approach to what we do in Chapter 4, in this chapter, we estimate two MSVAR models, one for the yields and one for the spreads. First, we present our specification search, which in this case concerns not only the appropriate number of lags, but also the most adequate type of Markov switching model and the appropriate number of regimes.
Viola Fabbrini, Massimo Guidolin, Manuela Pedio   +2 more
openaire   +1 more source

Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Model

, 2016
Interconnections between Eurozone and United States booms and busts and among major Eurozone economies are analyzed using a Panel Markov-Switching VAR model. The model accommodates changes in low and high data frequencies and incorporates endogenous time-
Monica Billio, R. Casarin, F. Ravazzolo, H. V. Dijk   +3 more
semanticscholar   +1 more source

Research on Markov-Switching model

2011 International Conference on Multimedia Technology, 2011
On analyzing the basic thought of the parameter estimates of Markov switching model, and researching on the derivation of likelihood function, This paper deduces the smooth probability and the expected duration of the state variable of Markov-Switching model, so as to provide a reference for other researchers.
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