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A Markov model for switching regressions

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Cited by:

  1. Isabelle Weberpals, 1997. "The Liquidity Trap: Evidence from Japan," Staff Working Papers 97-4, Bank of Canada.
  2. Xi, Xiaojing & Mamon, Rogemar, 2011. "Parameter estimation of an asset price model driven by a weak hidden Markov chain," Economic Modelling, Elsevier, vol. 28(1-2), pages 36-46, January.
  3. Gregory Galay & Henry Thille, 2021. "Pipeline capacity and the dynamics of Alberta crude oil price spreads," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 54(3), pages 1072-1102, November.
  4. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
  5. Chin Nam Low & Heather Anderson & Ralph Snyder, 2006. "Beveridge-Nelson Decomposition with Markov Switching," Melbourne Institute Working Paper Series wp2006n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  6. Omokolade Akinsomi & Mehmet Balcilar & Rıza Demirer & Rangan Gupta, 2017. "The effect of gold market speculation on REIT returns in South Africa: a behavioral perspective," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(4), pages 774-793, October.
  7. Nemati, Mehdi & Saghaian, Sayed H., 2016. "Dynamics of Price Adjustment in Qualitatively Differentiated Markets in the U.S.: The Case of Organic and Conventional Apples," 2016 Annual Meeting, February 6-9, 2016, San Antonio, Texas 229950, Southern Agricultural Economics Association.
  8. Engemann, Kristie M. & Kliesen, Kevin L. & Owyang, Michael T., 2011. "Do Oil Shocks Drive Business Cycles? Some U.S. And International Evidence," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 498-517, November.
  9. Djuric, Ivan & Gotz, Linde & Glauben, Thomas, 2012. "Global commodity price peaks and governmental interventions: The case of the wheat-to-bread supply chain in Serbia - Who benefited and who lost?," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 125142, Agricultural and Applied Economics Association.
  10. Knut Are Aastveit & Anne Sofie Jore & Francesco Ravazzolo, 2014. "Forecasting recessions in real time," Working Paper 2014/02, Norges Bank.
  11. Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2023.
  12. Assané, Djeto & Konan, Denise Eby & Anukoolthamchote, Pam Chasuta, 2019. "Assessing variability of photovoltaic load supply in Hawai‘i," Energy Policy, Elsevier, vol. 132(C), pages 290-298.
  13. Onour, Ibrahim, 2021. "The impact of the covid-19 pandemic on major Asian stock markets: evidence of decoupling effects," MPRA Paper 115994, University Library of Munich, Germany.
  14. Charles Guy Njike Leunga & Donatien Hainaut, 2022. "Valuation of Annuity Guarantees Under a Self-Exciting Switching Jump Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 963-990, June.
  15. Dufrénot, Gilles & Mignon, Valérie & Péguin-Feissolle, Anne, 2011. "The effects of the subprime crisis on the Latin American financial markets: An empirical assessment," Economic Modelling, Elsevier, vol. 28(5), pages 2342-2357, September.
  16. Paudyal, Krishna & Saldanha, Liesl, 1997. "Stock returns and volatility in two regime markets: International evidence," International Review of Financial Analysis, Elsevier, vol. 6(3), pages 209-228.
  17. Taha Bahadir Sarac & OkYAY Ucan, 2013. "The Interest Rate Channel in Turkey: An Investigation with Kalman Filter Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 3(4), pages 874-884.
  18. Olawale Awe O. & Adedayo Adepoju A., 2018. "Modified Recursive Bayesian Algorithm For Estimating Time-Varying Parameters In Dynamic Linear Models," Statistics in Transition New Series, Polish Statistical Association, vol. 19(2), pages 258-293, June.
  19. Chien-Hsiu Lin & Shih-Kuei Lin & An-Chi Wu, 2015. "Foreign exchange option pricing in the currency cycle with jump risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 755-789, May.
  20. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
  21. Freebairn, John W. & Rausser, Gordon C., 1974. "Updating Parameter Estimates: A Least Squares Approach with an Application to the Inventory of Beef Cows," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 42(02), pages 1-17, June.
  22. Yanlin Shi & Lingbing Feng & Tong Fu, 2020. "Markov Regime-Switching in-Mean Model with Tempered Stable Distribution," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1275-1299, April.
  23. Elvio Accinelli & Juan Gabriel Brida, 2007. "Modelos económicos con múltiples regímenes," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 1(2), pages 96-115.
  24. Aastveit, Knut Are & Jore, Anne Sofie & Ravazzolo, Francesco, 2016. "Identification and real-time forecasting of Norwegian business cycles," International Journal of Forecasting, Elsevier, vol. 32(2), pages 283-292.
  25. Cozmanca, Bogdan-Octavian & Manea, Florentina, 2010. "Exchange Rate Pass-Through into Romanian Price Indices. Avar Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 26-52, September.
  26. Eva F. Janssens & Sean McCrary, 2023. "Finite-State Markov-Chain Approximations: A Hidden Markov Approach," Finance and Economics Discussion Series 2023-040, Board of Governors of the Federal Reserve System (U.S.).
  27. Liu, Wen-Hsien & Chyi, Yih-Luan, 2006. "A Markov regime-switching model for the semiconductor industry cycles," Economic Modelling, Elsevier, vol. 23(4), pages 569-578, July.
  28. Adekoya, Oluwasegun B. & Oliyide, Johnson A. & Oduyemi, Gabriel O., 2021. "How COVID-19 upturns the hedging potentials of gold against oil and stock markets risks: Nonlinear evidences through threshold regression and markov-regime switching models," Resources Policy, Elsevier, vol. 70(C).
  29. Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005. "Markov switching regimes in a monetary exchange rate model," Economic Modelling, Elsevier, vol. 22(3), pages 485-502, May.
  30. Diebold, Francis X & Rudebusch, Glenn D, 1996. "Measuring Business Cycles: A Modern Perspective," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
  31. Wang, Hong & Forbes, Catherine S. & Fenech, Jean-Pierre & Vaz, John, 2020. "The determinants of bank loan recovery rates in good times and bad – New evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 875-897.
  32. Adnan Haider & Musleh ud Din & Ejaz Ghani, 2011. "Consequences of Political Instability, Governance and Bureaucratic Corruption on Inflation and Growth: The Case of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 50(4), pages 773-807.
  33. Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2015. "The dynamic relationship between stock, bond and foreign exchange markets," Economic Systems, Elsevier, vol. 39(4), pages 592-607.
  34. Wan-Lun Wang, 2019. "Mixture of multivariate t nonlinear mixed models for multiple longitudinal data with heterogeneity and missing values," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(1), pages 196-222, March.
  35. Garcia, Rene & Perron, Pierre, 1996. "An Analysis of the Real Interest Rate under Regime Shifts," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 111-125, February.
  36. Ma, Jason Z. & Deng, Xiang & Ho, Kung-Cheng & Tsai, Sang-Bing, 2018. "Regime-switching determinants of emerging markets sovereign credit risk swaps spread," Economics Discussion Papers 2018-52, Kiel Institute for the World Economy (IfW Kiel).
  37. Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
  38. Hunt, Julien & Devolder, Pierre, 2011. "Semi Markov regime switching interest rate models and minimal entropy measure," LIDAM Discussion Papers ISBA 2011010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  39. Easaw, J. Z. & Garratt, D., 1999. "UK government expenditure and electoral security in the 1980s: a non-linear analysis," Economics Letters, Elsevier, vol. 62(3), pages 287-292, March.
  40. Grace Lee, 2011. "Aggregate shocks decomposition for eight East Asian countries," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 16(2), pages 215-232.
  41. Kamel Helali, 2022. "Markov Switching-Vector AutoRegression Model Analysis of the Economic and Growth Cycles in Tunisia and Its Main European Partners," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 13(1), pages 656-686, March.
  42. Ermanno Affuso & Kyre Dane Lahtinen, 2019. "Social media sentiment and market behavior," Empirical Economics, Springer, vol. 57(1), pages 105-127, July.
  43. Chopin, Nicolas & Pelgrin, Florian, 2004. "Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation," Journal of Econometrics, Elsevier, vol. 123(2), pages 327-344, December.
  44. Wong, Jian Cheng & Lian, Heng & Cheong, Siew Ann, 2009. "Detecting macroeconomic phases in the Dow Jones Industrial Average time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(21), pages 4635-4645.
  45. Zhang, Lei & Li, Yaoyu, 2017. "Regime-switching based vehicle-to-building operation against electricity price spikes," Energy Economics, Elsevier, vol. 66(C), pages 1-8.
  46. Robert A Buckle & David Haugh & Peter Thomson, 2002. "Growth and volatility regime switching models for New Zealand GDP data," Treasury Working Paper Series 02/08, New Zealand Treasury.
  47. Liu, Wen-Hsien & Chung, Ching-Fan & Chang, Kuang-Liang, 2013. "Inventory change, capacity utilization and the semiconductor industry cycle," Economic Modelling, Elsevier, vol. 31(C), pages 119-127.
  48. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.
  49. Gurudeo Anand Tularam & Rajibur Reza, 2016. "Water exchange traded funds: A study on idiosyncratic risk using Markov switching analysis," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1139437-113, December.
  50. Wajeeh Mustafa Sarsour & Shamsul Rijal Muhammad Sabri, 2020. "A Simulation Study: Obtaining a Sufficient Sample Size of Discrete-Time Markov Chains of Investment in a Short Frequency of Time," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(8), pages 906-919, August.
  51. Klaus Abberger & Wolfgang Nierhaus, 2010. "Markov-Switching and the Ifo Business Climate: the Ifo Business Cycle Traffic Lights," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2010(2), pages 1-13.
  52. Houda Rharrabti Zaid, 2015. "Transmission du stress financier de la zone euro aux Pays de l’Europe Centrale et Orientale," EconomiX Working Papers 2015-37, University of Paris Nanterre, EconomiX.
  53. Hannah L. Paul & Andrew Q. Philips, 2022. "What goes up must come down: Theory and model specification of threshold dynamics," Social Science Quarterly, Southwestern Social Science Association, vol. 103(5), pages 1273-1289, September.
  54. Papaioannou, Sotiris K., 2019. "The effects of fiscal policy on output: Does the business cycle matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 27-36.
  55. Alotaibi, Abdullah R. & Mishra, Anil V., 2017. "Time varying international financial integration for GCC stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 66-78.
  56. Ali, Wajid & Ahmad, Iftikhar & Javed, Asif & Rafiq, Sara, 2020. "Regime Switches in Pakistan's Fiscal Policy: Markov-Switching VAR Approach," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 27(2).
  57. Tak Kuen Siu & Robert J. Elliott, 2019. "Hedging Options In A Doubly Markov-Modulated Financial Market Via Stochastic Flows," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-41, December.
  58. Marjan Petreski, 2010. "An Overhaul of a Doctrine: Has Inflation Targeting Opened a New Era in Developing-country Peggers?," FIW Working Paper series 057, FIW.
  59. Gaia Garino & Lucio Sarno, 2004. "Speculative Bubbles in U.K. House Prices: Some New Evidence," Southern Economic Journal, John Wiley & Sons, vol. 70(4), pages 777-795, April.
  60. Fukuda, Kosei, 2009. "Distribution switching in financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(5), pages 1711-1720.
  61. Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 30 Jan 2002.
  62. Dmitry Kulikov, 2012. "Testing for Rational Speculative Bubbles on the Estonian Stock Market," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 4(1).
  63. Yao, Weixin & Wei, Yan & Yu, Chun, 2014. "Robust mixture regression using the t-distribution," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 116-127.
  64. Medhioub, Imed, 2007. "Asymétrie des cycles économiques et changement de régimes : cas de la Tunisie," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(4), pages 529-553, décembre.
  65. Figà-Talamanca, Gianna & Focardi, Sergio & Patacca, Marco, 2021. "Regime switches and commonalities of the cryptocurrencies asset class," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  66. Reichold, Karsten & Wagner, Martin & Damjanovic, Milan & Drenkovska, Marija, 2022. "Sources and Channels of Nonlinearities and Instabilities of the Phillips Curve: Results for the Euro Area and Its Member States," IHS Working Paper Series 40, Institute for Advanced Studies.
  67. Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005. "Modeling electricity prices with regime switching models," Econometrics 0502005, University Library of Munich, Germany.
  68. Erica Fellinger Jusué & Tomás Mancha Navarro, 2008. "Stabilization policies in Argentina: an analysis from the perspective of inflation uncertainty," Working Papers 04/08, Instituto Universitario de Análisis Económico y Social.
  69. Anton Bekkerman, 2021. "Quality forecasts: Predicting when and how much markets value higher‐protein wheat," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 69(4), pages 465-490, December.
  70. Cyril Martin de Lagarde & Frédéric Lantz, 2017. "Impact of Variable Renewable Production on Electriciy Prices in Germany : A Markov Switching Model," Working Papers hal-03187020, HAL.
  71. Chen, Shu-Ling & Miranda, Mario J., 2006. "Modeling Yield Distribution In High Risk Counties: Application To Texas Upland Cotton," 2006 Annual meeting, July 23-26, Long Beach, CA 21392, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  72. Masaru Chiba, 2023. "Robust and efficient specification tests in Markov-switching autoregressive models," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 99-137, April.
  73. Jinho Bae, 2011. "Does knowing the volatility states affect the market risk premium?," Annals of Finance, Springer, vol. 7(1), pages 83-94, February.
  74. Lopes, José Mário & Nunes, Luis C., 2012. "A Markov regime switching model of crises and contagion: The case of the Iberian countries in the EMS," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1141-1153.
  75. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
  76. Michael Jacobs, 2016. "Stress Testing and a Comparison of Alternative Methodologies for Scenario Generation," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(6), pages 1-7.
  77. Gao, Huan & Mamon, Rogemar & Liu, Xiaoming & Tenyakov, Anton, 2015. "Mortality modelling with regime-switching for the valuation of a guaranteed annuity option," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 108-120.
  78. Gustavo Alexis Sabillón & Luiz Gabriel Fernandes Cotrim & Daiane Aparecida Zuanetti, 2023. "A data-driven reversible jump for estimating a finite mixture of regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 350-369, March.
  79. Onour, Ibrahim, 2020. "Assessing the Impact of covid-19 Shock on major Asian stock markets," MPRA Paper 115996, University Library of Munich, Germany.
  80. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
  81. Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
  82. Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2013. "Transitional Dynamics of Oil Prices," MPRA Paper 56407, University Library of Munich, Germany.
  83. Yan Li & Chun Yu & Yize Zhao & Weixin Yao & Robert H. Aseltine & Kun Chen, 2022. "Pursuing sources of heterogeneity in modeling clustered population," Biometrics, The International Biometric Society, vol. 78(2), pages 716-729, June.
  84. Tsung Wu Ho, 2000. "Regime-switching investment-saving correlation and international capital mobility," Applied Economics Letters, Taylor & Francis Journals, vol. 7(9), pages 619-622.
  85. O. Olawale Awe & A. Adedayo Adepoju, 2018. "Modified Recursive Bayesian Algorithm For Estimating Time-Varying Parameters In Dynamic Linear Models," Statistics in Transition New Series, Polish Statistical Association, vol. 19(2), pages 239-258, June.
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  95. Farzad Fard & Tak Siu, 2013. "Pricing and managing risks of European-style options in a Markovian regime-switching binomial model," Annals of Finance, Springer, vol. 9(3), pages 421-438, August.
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  119. Aliyu, Shehu Usman Rano & Aminu, Abubakar Wambai, 2018. "Economic regimes and stock market performance in Nigeria: Evidence from regime switching model," MPRA Paper 91430, University Library of Munich, Germany, revised 03 Oct 2018.
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  122. AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud, 2016. "A New Approach to Volatility Modeling : The High-Dimensional Markov Model," LIDAM Discussion Papers CORE 2016042, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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  127. Paroli, Roberta & Spezia, Luigi, 2008. "Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2311-2330, January.
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