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Citations for "Specification testing in Markov-switching time-series models"

by Hamilton, James D.

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  1. Marmer, Vadim, 2009. "Testing the null hypothesis of no regime switching with an application to GDP growth rates," working papers vadim_marmer-2009-59, Vancouver School of Economics, revised 03 Nov 2009.
  2. Nicolas Rautureau, 2004. "Modèles à changement de régime et test de la théorie des anticipations rationnelles de la structure par terme des taux dintérêt en France," Économie et Prévision, Programme National Persée, vol. 163(2), pages 117-129.
  3. Robert Breunig & Alison Stegman, 2003. "Testing for Regime Switching in Singaporean Business Cycles," Departmental Working Papers 2003-20, The Australian National University, Arndt-Corden Department of Economics.
  4. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, Department of Economics, University of Venice "Ca' Foscari".
  5. Darné, O. & Ferrara, L., 2009. "Identification of slowdowns and accelerations for the euro area economy," Working papers 239, Banque de France.
  6. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics.
  7. Ryan SULEIMANN, 2003. "New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach," Econometrics 0307003, EconWPA, revised 18 Jul 2003.
  8. Salhi, Khaled & Deaconu, Madalina & Lejay, Antoine & Champagnat, Nicolas & Navet, Nicolas, 2016. "Regime switching model for financial data: Empirical risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 148-157.
  9. Gabriel Vasco J. & Alexandre Fernando & Bação Pedro, 2008. "The Consumption-Wealth Ratio under Asymmetric Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-32, December.
  10. Nielsen, Steen & Olesen, Jan Overgaard, 2001. "Regime-Switching Stock Returns And Mean Reversion," Working Papers 11-2000, Copenhagen Business School, Department of Economics.
  11. Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2005. "The Impact of FX Central Bank Intervention in a Noise Trading Framework," CESifo Working Paper Series 1520, CESifo Group Munich.
  12. Karakatsani, Nektaria V. & Bunn, Derek W., 2008. "Intra-day and regime-switching dynamics in electricity price formation," Energy Economics, Elsevier, vol. 30(4), pages 1776-1797, July.
  13. T. -W. Ho, 2003. "Regime-switching properties of the optimal seigniorage hypothesis: the case of Taiwan," Applied Economics, Taylor & Francis Journals, vol. 35(4), pages 485-494.
  14. repec:ipg:wpaper:32 is not listed on IDEAS
  15. Jacobson, Tor & Lindh, Thomas & Warne, Anders, 1998. "Growth, Savings, Financial Markets and Markov Switching Regimes," Working Paper Series 69, Sveriges Riksbank (Central Bank of Sweden).
  16. Nilsson, Birger, 2002. "Financial Liberalization and the Changing Characteristics of Nordic Stock Returns," Working Papers 2002:4, Lund University, Department of Economics.
  17. Siregar, Reza Yamora & Nguyen, Thi Kim Cuc, 2013. "Inflationary Implication of Gold Price in Vietnam," MPRA Paper 46157, University Library of Munich, Germany.
  18. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, November.
  19. Gbaguidi, David Sedo, 2011. "Regime Switching in a New Keynesian Phillips Curve with Non-zero Steady-state Inflation Rate," MPRA Paper 35481, University Library of Munich, Germany.
  20. Karakatsani Nektaria V & Bunn Derek W., 2010. "Fundamental and Behavioural Drivers of Electricity Price Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-42, September.
  21. Czinkota, Thomas, 2012. "Das Halteproblem bei Strukturbrüchen in Finanzmarktzeitreihen
    [The Halting Problem applied to Structural Breaks in Financial Time Series]
    ," MPRA Paper 37072, University Library of Munich, Germany.
  22. Yan Bai & Jing Zhang, 2006. "Financial Integration and International Risk Sharing," 2006 Meeting Papers 371, Society for Economic Dynamics.
  23. D.S. Poskitt & Jing Zhang, 2004. "Estimating Components in Finite Mixtures and Hidden Markov Models," Monash Econometrics and Business Statistics Working Papers 10/04, Monash University, Department of Econometrics and Business Statistics.
  24. Balcilar, Mehmet & Gupta, Rangan & Jooste, Charl & Wohar, Mark E., 2016. "Periodically collapsing bubbles in the South African stock market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 191-201.
  25. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, Department of Economics, University of Venice "Ca' Foscari".
  26. Feld, Lars P. & Köhler, Ekkehard A., 2015. "Is Switzerland an interest rate island after all? Time series and non-linear switching regime evidence," Freiburg Discussion Papers on Constitutional Economics 15/08, Walter Eucken Institut e.V..
  27. Abdul d Abiad, 2003. "Early Warning Systems; A Survey and a Regime-Switching Approach," IMF Working Papers 03/32, International Monetary Fund.
  28. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, vol. 109(2), pages 239-273, August.
  29. Rania Jammazi & Duc Khuong Nguyen, 2015. "Responses of international stock markets to oil price surges: a regime-switching perspective," Applied Economics, Taylor & Francis Journals, vol. 47(41), pages 4408-4422, September.
  30. Amélie Charles & Olivier Darné & Claude Diebolt & Laurent Ferrara, 2011. "A new monthly chronology of the US industrial cycles in the prewar economy," EconomiX Working Papers 2011-27, University of Paris West - Nanterre la Défense, EconomiX.
  31. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  32. Robert Gagné & Simon van Norden & Bruno Versaevel, 2003. "Testing Optimal Punishment Mechanisms Under Price Regulation: the Case of the Retail Market for Gasoline," CIRANO Working Papers 2003s-57, CIRANO.
  33. Vipin Arora & Shuping Shi, 2016. "Nonlinearities and tests of asset price bubbles," Empirical Economics, Springer, vol. 50(4), pages 1421-1433, June.
  34. Janczura, Joanna & Weron, Rafal, 2011. "Goodness-of-fit testing for the marginal distribution of regime-switching models," MPRA Paper 32532, University Library of Munich, Germany.
  35. Valadkhani, Abbas & Smyth, Russell, 2015. "Switching and asymmetric behaviour of the Okun coefficient in the US: Evidence for the 1948–2015 period," Economic Modelling, Elsevier, vol. 50(C), pages 281-290.
  36. Jones, Kenneth D. & Oshinsky, Robert C., 2009. "The effect of industry consolidation and deposit insurance reform on the resiliency of the U.S. bank insurance fund," Journal of Financial Stability, Elsevier, vol. 5(1), pages 57-88, January.
  37. Getmansky, Mila & Lo, Andrew & Makarov, Igor, 2003. "An Econometric Model of Serial Correlation and Illiquidity In Hedge Fund Returns," Working papers 4288-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  38. Ferrara, Laurent, 2006. "A real-time recession indicator for the Euro area," MPRA Paper 4042, University Library of Munich, Germany.
  39. Gbaguidi S. DAVID, 2011. "Expectations Impact On The Effectiveness Of The Inflation-Real Activity Trade-Off," Theoretical and Practical Research in Economic Fields, ASERS Publishing, vol. 0(2), pages 141-182, December.
  40. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
  41. repec:ipg:wpaper:2014-080 is not listed on IDEAS
  42. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," SSE/EFI Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005.
  43. Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 239-270, July.
  44. repec:ipg:wpaper:2014-085 is not listed on IDEAS
  45. Angelos Kanas, 2003. "Non-linear forecasts of stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 299-315.
  46. Patricia Alvarez-Plata & Mechthild Schrooten, 2003. "The Argentinean Currency Crisis: A Markov-Switching Model Estimation," Discussion Papers of DIW Berlin 348, DIW Berlin, German Institute for Economic Research.
  47. David Revelt & Kenneth Train, 2001. "Customer-Specific Taste Parameters and Mixed Logit: Households' Choice of Electricity Supplier," Econometrics 0012001, EconWPA.
  48. Walid Chkili & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory," Working Papers 2014-389, Department of Research, Ipag Business School.
  49. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  50. Blix, Mårten, 1997. "Rational Expectations in a VAR with Markov Switching," Seminar Papers 627, Stockholm University, Institute for International Economic Studies.
  51. Erlandsson, Ulf, 2002. "Regime Switches in Swedish Interest Rates," Working Papers 2002:5, Lund University, Department of Economics, revised 26 Aug 2003.
  52. James D. Hamilton, 2005. "What's real about the business cycle?," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 435-452.
  53. Hassler., John, 1997. "Regime Shifts and Volatility Spillovers on International Stock Markets," Seminar Papers 603, Stockholm University, Institute for International Economic Studies.
  54. Patrick K. Asea & S. Brock Blomberg, 1997. "Lending Cycles," NBER Working Papers 5951, National Bureau of Economic Research, Inc.
  55. Sean D. Campbell, 2002. "Specification Testing and Semiparametric Estimation of Regime Switching Models: An Examination of the US Short Term Interest Rate," Working Papers 2002-26, Brown University, Department of Economics.
  56. 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.
  57. Kólver Hernández & Asli Leblebicioglu, 2008. "A Regime Switching Analysis of Exchange Rate Pass-through," Working Papers 08-17, University of Delaware, Department of Economics.
  58. Arielle Beyaert & Juan rez-Castej, 2000. "Switching regime models in the Spanish inter-bank market," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 93-112.
  59. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
  60. Blommestein, Hans & Eijffinger, Sylvester & Qian, Zongxin, 2016. "Regime-dependent determinants of Euro area sovereign CDS spreads," Journal of Financial Stability, Elsevier, vol. 22(C), pages 10-21.
  61. ZHENG, Tingguo & WANG, Xia & GUO, Huiming, 2012. "Estimating forward-looking rules for China's Monetary Policy: A regime-switching perspective," China Economic Review, Elsevier, vol. 23(1), pages 47-59.
  62. Pelletier, Denis, 2006. "Regime switching for dynamic correlations," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 445-473.
  63. Franses, Philip Hans & Paap, Richard & Vroomen, Bjorn, 2004. "Forecasting unemployment using an autoregression with censored latent effects parameters," International Journal of Forecasting, Elsevier, vol. 20(2), pages 255-271.
  64. Ken Nyholm, 2003. "Inferring the private information content of trades: a regime-switching approach The views presented in the paper are not necessarily shared by the European Central Bank," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 457-470.
  65. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
  66. Chen, Shyh-Wei & Shen, Chung-Hua, 2007. "A sneeze in the U.S., a cough in Japan, but pneumonia in Taiwan? An application of the Markov-Switching vector autoregressive model," Economic Modelling, Elsevier, vol. 24(1), pages 1-14, January.
  67. Driffill, John & Sola, Martin, 1998. "Intrinsic bubbles and regime-switching," Journal of Monetary Economics, Elsevier, vol. 42(2), pages 357-373, July.
  68. Tsung-Wu Ho, 2001. "Finite-sample properties of the bootstrap estimator in a Markov-switching model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(7), pages 835-842.
  69. Franses, Ph.H.B.F. & Paap, R., 1998. "Modelling asymmetric persistence over the business cycle," Econometric Institute Research Papers EI 9852, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  70. Margherita Velucchi, 2009. "Regime switching: Italian financial markets over a century," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 67-86, March.
  71. Andrew Ang & Allan Timmermann, 2011. "Regime Changes and Financial Markets," NBER Working Papers 17182, National Bureau of Economic Research, Inc.
  72. Philippe Burger & Krige Siebrits & Estian Calitz, 2015. "The public sector balance sheet and fiscal consolidation in South Africa," Working Papers 11/2015, Stellenbosch University, Department of Economics.
  73. Sapio, Alessandro & Spagnolo, Nicola, 2016. "Price regimes in an energy island: Tacit collusion vs. cost and network explanations," Energy Economics, Elsevier, vol. 55(C), pages 157-172.
  74. Abbas Valadkhani & George Chen, 2014. "An empirical analysis of the US stock market and output growth volatility spillover effects on three Anglo-Saxon countries," International Review of Applied Economics, Taylor & Francis Journals, vol. 28(3), pages 323-335, 05.
  75. Franses, Ph.H.B.F. & Paap, R., 1998. "Censored latent effects autoregression, with an application to US unemployment," Econometric Institute Research Papers EI 9841, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  76. Marcelo Resende, 2012. "Non-Collusive Oligopoly and Business Cycle: Some Further Evidence," Economics Bulletin, AccessEcon, vol. 32(1), pages 883-893.
  77. Edwards, Sebastian & Susmel, Raul, 2001. "Volatility dependence and contagion in emerging equity markets," Journal of Development Economics, Elsevier, vol. 66(2), pages 505-532, December.
  78. Yuliya Lovcha & Alejandro Perez-Laborda, 2010. "Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market," MNB Working Papers 2010/10, Magyar Nemzeti Bank (Central Bank of Hungary).
  79. Beyaert, Arielle & Garcia-Solanes, Jose & Perez-Castejon, Juan J., 2007. "Uncovered interest parity with switching regimes," Economic Modelling, Elsevier, vol. 24(2), pages 189-202, March.
  80. Andrew Ang & Geert Bekaert, 1998. "Regime Switches in Interest Rates," NBER Working Papers 6508, National Bureau of Economic Research, Inc.
  81. Bessec, Marie, 2003. "Mean-reversion vs. adjustment to PPP: the two regimes of exchange rate dynamics under the EMS, 1979-1998," Economic Modelling, Elsevier, vol. 20(1), pages 141-164, January.
  82. Ko, Kwangsoo & Lim, Taejin, 2006. "Short selling and stock prices with regime switching in the absence of market makers: The case of Japan," Japan and the World Economy, Elsevier, vol. 18(4), pages 528-544, December.
  83. Wilfredo L. Maldonado & Octávio A. F. Tourinho & Jorge A. B. M. de Abreu, 2014. "Cointegrated Periodically Collapsing Bubbles in the Exchange Rate of 'BRICS' Countries," CAMA Working Papers 2014-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  84. repec:ipg:wpaper:2013-032 is not listed on IDEAS
  85. Benoit Bellone, 2005. "Classical Estimation of Multivariate Markov-Switching Models using MSVARlib," Econometrics 0508017, EconWPA.
  86. Valadkhani, Abbas, 2014. "Switching impacts of the output gap on inflation: Evidence from Canada, the UK and the US," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 270-285.
  87. Kobayashi, Masahito, 2009. "Testing for jumps in the stochastic volatility models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2597-2608.
  88. Telatar, Erdinc & Telatar, Funda & Ratti, Ronald A., 2003. "On the predictive power of the term structure of interest rates for future inflation changes in the presence of political instability: the Turkish economy," Journal of Policy Modeling, Elsevier, vol. 25(9), pages 931-946, December.
  89. Valadkhani, Abbas, 2014. "Dynamic effects of rising oil prices on consumer energy prices in Canada and the United States: Evidence from the last half a century," Energy Economics, Elsevier, vol. 45(C), pages 33-44.
  90. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Exploiting Spillovers to forecast Crashes," Tinbergen Institute Discussion Papers 15-118/III, Tinbergen Institute.
  91. Claudia Arguedas & Jorge Requena, 2003. "La dolarización en Bolivia: una estimación de la elasticidad de sustitución entre monedas," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 383-406, octubre-d.
  92. Igor Alexandre Clemente de Morais & Marcelo Savino Portugal, 2003. "Business Cycle in the Industrial Production of Brazilian States," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] e75, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  93. M. Portugal & I.A. de Morais, 2004. "STRUCTURAL CHANGE IN THE BRAZILIAN DEMAND FOR IMPORTS: A regime switching approach," Econometric Society 2004 Latin American Meetings 346, Econometric Society.
  94. Chao, Hui-Ping, 1998. "Regime Switching In Us Livestock Cycles," 1998 Annual meeting, August 2-5, Salt Lake City, UT 20824, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  95. Blommestein, Hans J. & Eijffinger, Sylvester C W & Qian, Zongxin, 2012. "Animal Spirits in the Euro Area Sovereign CDS Market," CEPR Discussion Papers 9092, C.E.P.R. Discussion Papers.
  96. Ihle, Rico & von Cramon-Taubadel, Stephan, 2008. "A Comparison of Threshold Cointegration and Markov-Switching Vector Error Correction Models in Price Transmission Analysis," 2008 Conference, April 21-22, 2008, St. Louis, Missouri 37603, NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  97. Adom, Philip Kofi, 2016. "The transition between energy efficient and energy inefficient states in Cameroon," Energy Economics, Elsevier, vol. 54(C), pages 248-262.
  98. Ryan SULEIMANN, 2003. "Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach," Econometrics 0307004, EconWPA, revised 18 Jul 2003.
  99. Lanne, Markku, 2007. "Forecasting realized exchange rate volatility by decomposition," International Journal of Forecasting, Elsevier, vol. 23(2), pages 307-320.
  100. Chevallier, Julien, 2012. "Global imbalances, cross-market linkages, and the financial crisis: A multivariate Markov-switching analysis," Economic Modelling, Elsevier, vol. 29(3), pages 943-973.
  101. Arielle Beyaert & Juan Jose Perez-Castejon, 2009. "Markov-switching models, rational expectations and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 399-412.
  102. Masahito Kobayashi, 2005. "Testing for Volatility Jumps in the Stochastic Volatility Process," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 143-157, June.
  103. Gębka, Bartosz & Serwa, Dobromił, 2015. "The elusive nature of motives to trade: Evidence from international stock markets," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 147-157.
  104. Sebastian Edwards, 2000. "Interest Rates, Contagion and Capital Controls," NBER Working Papers 7801, National Bureau of Economic Research, Inc.
  105. Khaled Guesmi & Frédéric Teulon & Zied Ftiti, 2013. "Sudden Changes in Volatility in European Stock Markets," Working Papers 2013-32, Department of Research, Ipag Business School.
  106. Bergman, U. Michael & Hansson, Jesper, 2005. "Real exchange rates and switching regimes," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 121-138, February.
  107. Anders Vredin & Anders Warne, 2000. "Unemployment and Inflation Regimes," Econometric Society World Congress 2000 Contributed Papers 0984, Econometric Society.
  108. Anders Rygh Swensen, 1997. "Change in Regime and Markov Models," Discussion Papers 204, Statistics Norway, Research Department.
  109. 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.
  110. 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.
  111. Londono, Juan M. & Regúlez, Marta & Vázquez, Jesús, 2015. "An alternative view of the US price–dividend ratio dynamics," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 291-307.
  112. Ryan SULEIMANN, 2003. "The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach," Econometrics 0307002, EconWPA, revised 18 Jul 2003.
  113. Knüppel, Malte, 2004. "Testing for business cycle asymmetries based on autoregressions with a Markov-switching intercept," Discussion Paper Series 1: Economic Studies 2004,41, Deutsche Bundesbank, Research Centre.
  114. Kolver Hernandez & Aslı Leblebicioğlu, 2012. "A regime-switching analysis of pass-through," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 148(3), pages 523-552, September.
  115. Rangan Gupta & Charl Jooste & Omid Ranjbar, 2015. "The Changing Dynamics of South Africa's Inflation Persistence: Evidence from a Quantile Regression Framework," Working Papers 201563, University of Pretoria, Department of Economics.
  116. Doğan, İbrahim & Bilgili, Faik, 2014. "The non-linear impact of high and growing government external debt on economic growth: A Markov Regime-switching approach," Economic Modelling, Elsevier, vol. 39(C), pages 213-220.
  117. Michael P. Clements & Hans-Martin Krolzig, 2004. "Can regime-switching models reproduce the business cycle features of US aggregate consumption, investment and output?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(1), pages 1-14.
  118. Mamipour, Siab & Vaezi Jezeie, Fereshteh, 2015. "Non-Linearities in the relation between oil price, gold price and stock market returns in Iran: a multivariate regime-switching approach," MPRA Paper 66202, University Library of Munich, Germany.
  119. 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.
  120. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Specification Testing in Hawkes Models," Tinbergen Institute Discussion Papers 15-086/III, Tinbergen Institute.
  121. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
  122. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & Georgios P. Kouretas, 2006. "Regime switching and artificial neural network forecasting of the Cyprus Stock Exchange daily returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 371-383.
  123. Héctor A. Valle S., 2003. "Pronósticos de inflación para Guatemala hechos con modelos ARIMA y VAR," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 407-428, octubre-d.
  124. Yao, J., 2001. "On square-integrability of an AR process with Markov switching," Statistics & Probability Letters, Elsevier, vol. 52(3), pages 265-270, April.
  125. Sebastian Edwards & Raul Susmel, 2000. "Interest Rate Volatility and Contagion in Emerging Markets: Evidence from the 1990s," NBER Working Papers 7813, National Bureau of Economic Research, Inc.
  126. Maldonado, Wilfredo L. & Tourinho, Octávio A.F. & Valli, Marcos, 2012. "Exchange rate bubbles: Fundamental value estimation and rational expectations test," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1033-1059.
  127. Jesús R. González García, 2003. "La dinámica del consumo privado en México: un análisis de cointegración con cambios de régimen," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 429-449, octubre-d.
  128. repec:dau:papers:123456789/10086 is not listed on IDEAS
  129. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
  130. Sen, Rituparna & Hsieh, Fushing, 2009. "A note on testing regime switching assumption based on recurrence times," Statistics & Probability Letters, Elsevier, vol. 79(24), pages 2443-2450, December.
  131. Markku Lanne, 2006. "Forecasting Realized Volatility by Decomposition," Economics Working Papers ECO2006/20, European University Institute.
  132. HUCHET-BOURDON Marilyne, . "Inflation and the Real Effects of Monetary Policy," EcoMod2003 330700069, EcoMod.
  133. Diego Winkelried Quezada, 2003. "Indicadores adelantados de la inflación en el Perú," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(4), pages 345-382, octubre-d.
  134. Märten Kress, 2004. "Lending cycles in Estonia," Bank of Estonia Working Papers 2004-3, Bank of Estonia, revised 10 Oct 2004.
  135. Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, vol. 86(2), pages 369-386, June.
  136. Apostolos Thomadakis, 2012. "Contagion or Flight-to-Quality Phenomena in Stock and Bond Returns," School of Economics Discussion Papers 0612, School of Economics, University of Surrey.
  137. repec:afc:wpaper:12-02 is not listed on IDEAS
  138. Muhsin Kar & Tayfur Bayat & Selim Kayhan, 2016. "Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 4(3), pages 14, July.
  139. Xi, Fubao & Yin, G., 2010. "Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1378-1389, July.
  140. Pierre-Yves Hénin & Pape N'Diaye, 2001. "L'effet des politiques budgétaires sur l'activité : une fonction des conditions conjoncturelles et du régime budgétaire ?," Économie et Prévision, Programme National Persée, vol. 147(1), pages 73-88.
  141. Haas, Markus & Liu, Ji-Chun, 2015. "Theory for a Multivariate Markov--switching GARCH Model with an Application to Stock Markets," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112855, Verein für Socialpolitik / German Economic Association.
  142. Ferrara, Laurent, 2003. "A three-regime real-time indicator for the US economy," Economics Letters, Elsevier, vol. 81(3), pages 373-378, December.
  143. repec:afc:wpaper:12-03 is not listed on IDEAS
  144. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "Global Yield Curves and Sovereign Bond Market Integration," Economic Growth Centre Working Paper Series 0902, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  145. Maddalena Cavicchioli, 2015. "Likelihood Ratio Test and Information Criteria for Markov Switching Var Models: An Application to the Italian Macroeconomy," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(3), pages 315-332, November.
  146. Mohamed Boutahar & David Gbaguidi, 2009. "Which Econometric Specification to Characterize the U.S. Inflation Rate Process?," Computational Economics, Springer;Society for Computational Economics, vol. 34(2), pages 145-172, September.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.