Conditional Markov chain and its application in economic time series analysis
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Other versions of this item:
- Bai, Jushan & Wang, Peng, 2011. "Conditional Markov chain and its application in economic time series analysis," MPRA Paper 33369, University Library of Munich, Germany.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
- Stéphane GOUTTE & Benteng Zou, 2011. "Foreign exchange rates under Markov Regime switching model," CREA Discussion Paper Series 11-16, Center for Research in Economic Analysis, University of Luxembourg.
- Chang, Kuang-Liang, 2016. "Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 72-87.
- Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
- Leiva-Leon, Danilo, 2013.
"A New Approach to Infer Changes in the Synchronization of Business Cycle Phases,"
54452, University Library of Munich, Germany.
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- Troy A. Davig, 2008. "Detecting recessions in the Great Moderation: a real-time analysis," Economic Review, Federal Reserve Bank of Kansas City, issue Q IV, pages 5-33.
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"Conditional Markov regime switching model applied to economic modelling,"
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- Shu-Ping Shi, 2013. "Specification sensitivities in the Markov-switching unit root test for bubbles," Empirical Economics, Springer, vol. 45(2), pages 697-713, October.
- Danilo Leiva-Leon, 2017.
"Measuring Business Cycles Intra-Synchronization in US: A Regime-switching Interdependence Framework,"
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Department of Economics, University of Oxford, vol. 79(4), pages 513-545, August.
- Danilo Leiva-Leon, 2017. "Measuring business cycles intra-synchronization in us: a regime-switching interdependence framework," Working Papers 1726, Banco de España;Working Papers Homepage.
- Sylvia Kaufmann, 2016. "Hidden Markov models in time series, with applications in economics," Working Papers 16.06, Swiss National Bank, Study Center Gerzensee.
- Gilbert Mbara, 2017. "Business Cycle Dating after the Great Moderation: A Consistent Two – Stage Maximum Likelihood Method," Working Papers 2017-13, Faculty of Economic Sciences, University of Warsaw.
- Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
- Raphaël Homayoun Boroumand & Stéphane Goutte & Simon Porcher & Thomas Porcher, 2014. "A Conditional Markov Regime Switching Model to Study Margins: Application to the French Fuel Retail Markets," Working Papers hal-01090837, HAL.
More about this item
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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