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Markov Switching Model for Financial Time Series [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 Modeling financial time series is an important step for its forecast and risk evaluation when financial assets are involved. In this context, this article presents a Markov Switching Model for BET series recorded during the period Oct-2000 - Sept-2014 ...
Alina Barbulescu +1 more
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Frontiers in Energy Research, 2021 The rapid development of wind energy has brought a lot of uncertainty to the power system. The accurate ultra-short-term wind power prediction is the key issue to ensure the stable and economical operation of the power system.
Hang Fan +3 more
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Optimal Forecasts from Markov Switching Models [PDF]
Journal of Business & Economic Statistics, 2014 We derive forecasts for Markov switching models that are optimal in the MSFE sense by means of weighting observations. We provide analytic expressions of the weights conditional on the Markov states and conditional on state probabilities. This allows us to study the effect of uncertainty around states on forecasts.
Boot, Tom, Pick, Andreas
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Volatility spillover in crude oil market using Heston switching Clayton model [PDF]
Mathematics and Modeling in Finance, 2023 The purpose of this study is to investigate the effects and risk spillover from the global crude oil market on Tehran Stock Exchange Oil Group. For this purpose, we used a combination of copula models and switching models in this research. First, we will
Soheil Salimi Nasab +2 more
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Perturbation Methods for Markov-Switching DSGE Models [PDF]
SSRN Electronic Journal, 2013 This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of Markov-switching DSGE models. We introduce an important and practical idea of partitioning the Markov-switching parameter space so that a steady state is well de?ned.
Andrew T. Foerster +3 more
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Assessing Brazilian macroeconomic dynamics using a Markov-switching DSGE model
EconomiA, 2016 The goal of this paper is to evaluate the behavior of the main parameters of the Brazilian economy through the estimation of an open-economy dynamic stochastic general equilibrium (DSGE) model using Bayesian methods and allowing for Markov switching of ...
Caio César Soares Gonçalves +2 more
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Stationarity of multivariate Markov–switching ARMA models [PDF]
Journal of Econometrics, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Christian Francq, Jean-Michel Zakoïan
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Statistical Theory and Related Fields, 2020 This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting.
Liming Zhang, Rongming Wang, Jiaqin Wei
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Event-Based Consensus Tracking for Nonlinear Multi-Agent Systems Under Semi-Markov Jump Topology
IEEE Access, 2021 This paper studies the event-triggering leader-follower consensus with the strictly dissipative performance for nonlinear multi-agent systems (MASs) with semi-Markov changing topologies.
Jiafeng Yu +4 more
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MODEL VOLATILITAS SAHAM LQ45 DENGAN PENDEKATAN MARKOV-SWITCHING GARCH
Jurnal Lebesgue, 2023 Financial markets have an important role in the economy of a country including Indonesia. One of the activities chosen by investors in the financial market is investing.
Ermanely Ermanely +2 more
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