Results 71 to 80 of about 105,246 (202)
Identifying Iran's Monetary Policy Stance Using a Markov Switching Model [PDF]
اقتصاد باثباتRule-based monetary policy provides a systematic framework that enhances the effectiveness of monetary actions. However, implementation of rules inflexibly, without consideration of prevailing economic circumstances, can lead to undesirable outcomes.This
Alireza Erfani, Azadeh Talebbeydokhti
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Bayesian Analysis of Markov Switching Vector Error Correction Model [PDF]
This paper introduces a Bayesian approach to a Markov switching vector error correction model that allows for regime shifts in the intercept terms, the lag terms, the adjustment terms and the variance-covariance matrix.
Sugita, Katsuhiro
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The risk–return trade-off of Bitcoin: Evidence from regime-switching analysis
Future Business JournalDespite its importance, there has been little research on the relationship between Bitcoin’s risk and returns. Therefore, it is necessary to investigate the risk–return trade-off of Bitcoin.
Chikashi Tsuji
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Pemodelan Deteksi Krisis Keuangan di Indonesia Berdasarkan Indikator M2/Cadangan Devisa
Majalah Ilmiah Bijak, 2019 The banking crisis reflects the liquidity crisis and bankruptcy of banks in the financial system. The financial crisis that occurred in mid-1997 resulted in a financial crisis that had a severe impact on the Indonesian economy.
Aisyah Zahrotul Hidayah +2 more
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Measuring Business Cycle Turning Points in Japan with a Dynamic Markov Switching Factor Model [PDF]
In the dynamic factor model, a single unobserved factor common to some macroeconomic variables is defined as a composite index to measure business cycles.
Watanabe, Toshiaki
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A structural Time Series Model with Markov Switching. [PDF]
We propose an innovations form of the structural model underlying exponential smoothing that is further augmented by a latent Markov switching process.
Forbes, C.S., Shami, R.G.
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Dynamic Effects of Crude Oil Price Movements: a Sectoral Examination [PDF]
Romanian Economic Journal, 2019 The study employs the Markov switching regression to examine the dynamic effects of crude oil price movements on sector returns in Saudi Arabia, the United Arab Emirates, China and India given the impact of the global factor. The evidence from the Markov
Isah Wada
doaj
A Three-State Markov-Modulated Switching Model for Exchange Rates
Journal of Applied Mathematics, 2016 Several authors have examined the long swings hypothesis in exchange rates using a two-state Markov switching model. This study developed a model to investigate long swings hypothesis in currencies which may exhibit a k-state (k≥2) pattern.
Idowu Oluwasayo Ayodeji
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Long memory with Markov-Switching GARCH [PDF]
The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives su?cient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation
Krämer, Walter
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Business Cycle Analysis with Multivariate Markov Switching Models [PDF]
The class of Markov switching models can be extended in two main directions in a multivariate framework. In the first approach, the switching dynamics are introduced by way of a common latent factor.
Jacques Anas +3 more
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