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Time-Varying Transition Probabilities for Markov Regime Switching Models

Citations

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Cited by:

  1. Paul Doukhan & Konstantinos Fokianos & Joseph Rynkiewicz, 2021. "Mixtures of Nonlinear Poisson Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 107-135, January.
  2. Spezia, Luigi, 2020. "Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method," Computational Statistics & Data Analysis, Elsevier, vol. 143(C).
  3. Stefan Fiesel & Marliese Uhrig-Homburg, 2016. "Illiquidity Transmission in a Three-Country Framework: A Conditional Approach," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 17(3), pages 261-284, December.
  4. Chang, Yoosoon & Maih, Junior & Tan, Fei, 2021. "Origins of monetary policy shifts: A New approach to regime switching in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  5. Jonathan Olusegun Famoroti & Omolade Adeleke, 2023. "Analysis of Wamz’s Economic Growth and Monetary Policy Using the Markov Switching Approach," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 7(4), pages 142-156, April.
  6. Yoosoon Chang & Fei Tan & Xin Wei, 2018. "State Space Models with Endogenous Regime Switching," CAEPR Working Papers 2018-012, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  7. Mohammad Enamul Hoque & Mohd Azlan Shah Zaidi & M. Kabir Hassan, 2021. "Geopolitical Uncertainties and Malaysian Stock Market Returns: Do Market Conditions Matter?," Mathematics, MDPI, vol. 9(19), pages 1-16, September.
  8. Keddad, Benjamin, 2024. "Asian stock market volatility and economic policy uncertainty: The role of world and regional leaders," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  9. Andrei A. Sirchenko, 2017. "An endogenous regime-switching model of ordered choice with an application to federal funds rate target," 2017 Papers psi424, Job Market Papers.
  10. Chotipong Charoensom, 2024. "An Estimation of Regime Switching Models with Nonlinear Endogenous Switching," PIER Discussion Papers 217, Puey Ungphakorn Institute for Economic Research.
  11. Tharcisio Leone, 2019. "Intergenerational Mobility in Education: Estimates of the Worldwide Variation," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 44(4), pages 1-42, December.
  12. Marie Bessec, 2015. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Post-Print hal-01276824, HAL.
  13. Arash Peik & Mohammad Ali Zare Chahooki & Amin Milani Fard & Mehdi Agha Sarram, 2025. "Adaptive Temporal Fusion Transformers for Cryptocurrency Price Prediction," Papers 2509.10542, arXiv.org.
  14. Wang, Lu & Ma, Feng & Hao, Jianyang & Gao, Xinxin, 2021. "Forecasting crude oil volatility with geopolitical risk: Do time-varying switching probabilities play a role?," International Review of Financial Analysis, Elsevier, vol. 76(C).
  15. Leone, Tharcisio, 2017. "The gender gap in intergenerational mobility: Evidence of educational persistence in Brazil," Discussion Papers 2017/27, Free University Berlin, School of Business & Economics.
  16. Leone, Tharcisio, 2021. "The gender gap in intergenerational mobility," World Development Perspectives, Elsevier, vol. 21(C).
  17. Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2025. "Dynamic Mixture Vector Autoregressions With Score‐Driven Weights," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(4), pages 455-470, June.
  18. Ding, Yi & Kambouroudis, Dimos & McMillan, David G., 2025. "Forecasting realised volatility using regime-switching models," International Review of Economics & Finance, Elsevier, vol. 101(C).
  19. Leopoldo Catania, 2016. "Dynamic Adaptive Mixture Models," Papers 1603.01308, arXiv.org, revised Jan 2023.
  20. Kirstin Hubrich & Daniel F. Waggoner, 2022. "The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework," Finance and Economics Discussion Series 2022-034, Board of Governors of the Federal Reserve System (U.S.).
  21. repec:dau:papers:123456789/15246 is not listed on IDEAS
  22. van Os, Bram & van Dijk, Dick, 2024. "Accelerating peak dating in a dynamic factor Markov-switching model," International Journal of Forecasting, Elsevier, vol. 40(1), pages 313-323.
  23. Zheng, Tingguo & Ye, Shiqi & Hong, Yongmiao, 2023. "Fast estimation of a large TVP-VAR model with score-driven volatilities," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
  24. Mauro Bernardi & Leopoldo Catania, 2015. "Switching-GAS Copula Models With Application to Systemic Risk," Papers 1504.03733, arXiv.org, revised Jan 2016.
  25. Harvey, A. & Palumbo, D., 2021. "Regime switching models for directional and linear observations," Cambridge Working Papers in Economics 2123, Faculty of Economics, University of Cambridge.
  26. Lu, Xinjie & Zeng, Qing & Zhong, Juandan & Zhu, Bo, 2024. "International stock market volatility: A global tail risk sight," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
  27. Lu, Xinjie & Ma, Feng & Li, Haibo & Wang, Jianqiong, 2023. "INE oil futures volatility prediction: Exchange rates or international oil futures volatility?," Energy Economics, Elsevier, vol. 126(C).
  28. Grassi, Stefano & Ravazzolo, Francesco & Vespignani, Joaquin & Vocalelli, Giorgio, 2025. "Global money supply and energy and non-energy commodity prices: A MS-TV-VAR approach," Journal of Commodity Markets, Elsevier, vol. 40(C).
  29. Chang, Yoosoon & Choi, Yongok & Park, Joon Y., 2017. "A new approach to model regime switching," Journal of Econometrics, Elsevier, vol. 196(1), pages 127-143.
  30. Blasques, F. & Francq, Christian & Laurent, Sébastien, 2024. "Autoregressive conditional betas," Journal of Econometrics, Elsevier, vol. 238(2).
  31. Giulio Cifarelli, 2023. "Commodity Pricing Volatility Shifts in a Highly Turbulent Time Period. A Time-varying Transition Probability Markov Switching Analysis," Working Papers - Economics wp2023_11.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  32. Djeundje, Viani B. & Crook, Jonathan & Andreeva, Galina, 2025. "The devil in the details: Dynamic Prediction of loan portfolio profitability with macroeconomic drivers through multi-state modelling," European Journal of Operational Research, Elsevier, vol. 327(2), pages 703-715.
  33. Christopher K. Allsup & Irene S. Gabashvili, 2024. "Modeling the Dynamics of Growth in Master-Planned Communities," Papers 2408.14214, arXiv.org, revised Aug 2024.
  34. Huaping Chen & Qi Li & Fukang Zhu, 2022. "A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(2), pages 243-270, June.
  35. Holm-Hadulla, Fédéric & Hubrich, Kirstin, 2017. "Macroeconomic implications of oil price fluctuations: a regime-switching framework for the euro area," Working Paper Series 2119, European Central Bank.
  36. Aye, Goodness C. & Chang, Tsangyao & Gupta, Rangan, 2016. "Is gold an inflation-hedge? Evidence from an interrupted Markov-switching cointegration model," Resources Policy, Elsevier, vol. 48(C), pages 77-84.
  37. Custodio João, Igor & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2023. "Dynamic clustering of multivariate panel data," Journal of Econometrics, Elsevier, vol. 237(2).
  38. Qingfu Liu & Yiuman Tse & Kaixin Zheng, 2021. "The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market," The Financial Review, Eastern Finance Association, vol. 56(4), pages 671-692, November.
  39. Marie Bessec, 2019. "Revisiting the transitional dynamics of business cycle phases with mixed-frequency data," Econometric Reviews, Taylor & Francis Journals, vol. 38(7), pages 711-732, August.
  40. Zeng, Qing & Zhang, Jixiang & Zhong, Juandan, 2024. "China's futures market volatility and sectoral stock market volatility prediction," Energy Economics, Elsevier, vol. 132(C).
  41. Tan, Chia-Yen & Koh, You-Beng & Ng, Kok-Haur & Ng, Kooi-Huat, 2021. "Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  42. Psaradakis, Zacharias & Sola, Martin, 2024. "Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities," Econometrics and Statistics, Elsevier, vol. 29(C), pages 49-63.
  43. Pan, Zhiyuan & Xiao, Dongli & Dong, Qingma & Liu, Li, 2022. "Structural breaks, macroeconomic fundamentals and cross hedge ratio," Finance Research Letters, Elsevier, vol. 47(PA).
  44. Paidamoyo Aurleen Shenjere & Sune Ferreira-Schenk & Fabian Moodley, 2025. "Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions?," Economies, MDPI, vol. 13(1), pages 1-19, January.
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