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Citations for "Dynamic Linear Models with Markov-Switching"

by Kim, C-J.

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  1. Matteo Pelagatti, 2003. "Duration Dependent Markov-Switching Vector Autoregression: Properties, Bayesian Inference, Software and Application," Working Papers 20051101, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica, revised Nov 2005.
  2. Silvestro Di Sanzo, 2011. "Output Fluctuations Persistence: Do Cyclical Shocks Matter?," Bulletin of Economic Research, Wiley Blackwell, vol. 63(1), pages 28-52, 01.
  3. Lee, Hsiu-Yun & Chen, Show-Lin, 2006. "Why use Markov-switching models in exchange rate prediction?," Economic Modelling, Elsevier, vol. 23(4), pages 662-668, July.
  4. Matteo Ciccarelli & Alessandro Rebucci, 2003. "Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System," IMF Working Papers 03/102, International Monetary Fund.
  5. Weron, Rafal & Janczura, Joanna, 2010. "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper 26628, University Library of Munich, Germany.
  6. Chang-Jin Kim & Jaeho Kim, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," Discussion Paper Series 1306, Institute of Economic Research, Korea University.
  7. Wagner Oliveira Monteiro & Rodrigo De Losso da Silveira Bueno, 2011. "Dynamic Hedging inMarkov Regimes Switching," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 136, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  8. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2009. "Idiosyncratic risk matters! A regime switching approach," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 132-141, January.
  9. 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.
  10. Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2014. "Time Varying Transition Probabilities for Markov Regime Switching Models," Tinbergen Institute Discussion Papers 14-072/III, Tinbergen Institute.
  11. L. Baele & G. Bekaert & S. Cho & K. Inghelbrecht & A. Moreno, 2013. "Macroeconomic Regimes," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 13/870, Ghent University, Faculty of Economics and Business Administration.
  12. Michael Haupert & James Murray, 2012. "Regime switching and wages in major league baseball under the reserve clause," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 6(2), pages 143-162, May.
  13. Shively, Gerald E., 2001. "Price thresholds, price volatility, and the private costs of investment in a developing country grain market," Economic Modelling, Elsevier, vol. 18(3), pages 399-414, August.
  14. William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon, 2014. "Real-Time Nowcasting of Nominal GDP Under Structural Breaks," Staff Working Papers 14-39, Bank of Canada.
  15. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington.
  16. Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc.
  17. Chen, Xiaoshan & Leeper, Eric M. & Leith, Campbell, 2015. "US Monetary and Fiscal Policies - Conflict or Cooperation?," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-77, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  18. Märten Kress, 2004. "Lending cycles in Estonia," Bank of Estonia Working Papers 2004-3, Bank of Estonia, revised 10 Oct 2004.
  19. Valerie Cerra & Sweta Chaman Saxena, 2003. "Did Output Recover From the Asian Crisis?," IMF Working Papers 03/48, International Monetary Fund.
  20. Xiaoshan Chen & Ronald Macdonald, 2012. "Realized and Optimal Monetary Policy Rules in an Estimated Markov‐Switching DSGE Model of the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(6), pages 1091-1116, 09.
  21. Vincent, BODART & Konstantin, KHOLODILIN & Fati, SHADMAN-MEHTA, 2005. "Identifying and Forecasting the Turning Points of the Belgian Business Cycle with Regime-Switching and Logit Models," Discussion Papers (ECON - Département des Sciences Economiques) 2005006, Université catholique de Louvain, Département des Sciences Economiques.
  22. Guérin, Pierre & Leiva-Leon, Danilo, 2014. "Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data," MPRA Paper 59361, University Library of Munich, Germany.
  23. Vipin Arora & Pedro Gomis-Porqueras & Shuping Shi, 2011. "Testing for Explosive Behaviour in Relative Inflation Measures: Implications for Monetary Policy," Monash Economics Working Papers 37-11, Monash University, Department of Economics.
  24. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2013. "Flights to Safety," NBER Working Papers 19095, National Bureau of Economic Research, Inc.
  25. Konstantin Kholodilin, 2001. "Latent Leading and Coincident Factors Model with Markov-Switching Dynamics," Economics Bulletin, AccessEcon, vol. 3(7), pages 1-13.
  26. Liu, Xiaochun, 2013. "Markov-Switching Quantile Autoregression," MPRA Paper 55800, University Library of Munich, Germany.
  27. Nagayasu, Jun, 2012. "The Forward Premium Puzzle And Risk Premiums," MPRA Paper 42472, University Library of Munich, Germany.
  28. Masahiko Egami & Yuki Shigeta & Katsutoshi Wakai, 2014. "The change of correlation structure across industries:an analysis in the regime-switching framework," Discussion papers e-14-002, Graduate School of Economics Project Center, Kyoto University.
  29. Harm Bandholz & Michael Funke, 2001. "In Search of Leading Indicators of Economic Activity in Germany," CESifo Working Paper Series 571, CESifo Group Munich.
  30. Dueker, Michael J, 1997. "Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 26-34, January.
  31. Chauvet, Marcelle & Senyuz, Zeynep, 2008. "A Joint Dynamic Bi-Factor Model of the Yield Curve and the Economy as a Predictor of Business Cycles," MPRA Paper 15076, University Library of Munich, Germany, revised Apr 2009.
  32. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Centre de Recherche en Economie et Statistique.
  33. ZHU Xiaoneng & Shahidur RAHMAN, 2009. "A Regime Switching Macro-finance Model of the Term Structure," Economic Growth Centre Working Paper Series 0901, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  34. Yap, Josef T. & Majuca, Ruperto P. & Park, Cyn-Young, 2010. "The 2008 Financial Crisis and Potential Output in Asia: Impact and Policy Implications," Discussion Papers DP 2010-11, Philippine Institute for Development Studies.
  35. Alan V. S. Douglas & Alan G. Huang & Kenneth R. Vetzal, 2016. "Cash flow volatility and corporate bond yield spreads," Review of Quantitative Finance and Accounting, Springer, vol. 46(2), pages 417-458, February.
  36. Philip Kostov & John Lingard, 2004. "Regime-switching Vector Error Correction Model (VECM) analysis of UK meat consumption," Econometrics 0409007, EconWPA.
  37. Joanna Janczura, 2012. "Pricing electricity derivatives within a Markov regime-switching model," Papers 1203.5442, arXiv.org.
  38. Tatsuma Wada & Pierre Perron, 2005. "Trend and Cycles: A New Approach and Explanations of Some Old Puzzles," Computing in Economics and Finance 2005 252, Society for Computational Economics.
  39. Stavros Degiannakis, 2015. "A Probit Model for the State of the Greek GDP Growth," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 3(3), pages 381, August.
  40. Engel, Charles & Kim, Chang-Jin, 1999. "The Long-Run U.S./U.K. Real Exchange Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 335-56, August.
  41. Konstantin A. KHOLODILIN, 2001. "Markov-Switching Common Dynamic Factor Model with Mixed-Frequency Data," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001020, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  42. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
  43. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington.
  44. repec:hit:hitjcm:v:56:y:2015:i:1:p:117-134 is not listed on IDEAS
  45. 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.
  46. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2014. "Global Style Portfolios Based on Country Indices," MPRA Paper 53094, University Library of Munich, Germany.
  47. Gallo, Giampiero M. & Otranto, Edoardo, 2015. "Forecasting realized volatility with changing average levels," International Journal of Forecasting, Elsevier, vol. 31(3), pages 620-634.
  48. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
  49. Andrea Carriero & Massimiliano Marcellino, 2007. "Sectoral Survey-based Confidence Indicators for Europe," Working Papers 320, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  50. Camacho, Maximo & Pérez-Quirós, Gabriel & Poncela, Pilar, 2012. "Green Shoots and Double Dips in the Euro Area. A Real Time Measure," CEPR Discussion Papers 8896, C.E.P.R. Discussion Papers.
  51. Ruge-Murcia, F.J., 1995. "Government Expenditure and the Dynamics of High Inflation," Cahiers de recherche 9529, Universite de Montreal, Departement de sciences economiques.
  52. Perron, Pierre & Wada, Tatsuma, 2009. "Let's take a break: Trends and cycles in US real GDP," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 749-765, September.
  53. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Discussion Papers (ECON - Département des Sciences Economiques) 2006006, Université catholique de Louvain, Département des Sciences Economiques.
  54. Kim, Chang-Jin & Manopimoke, Pym & Nelson, Charles, 2013. "Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve," MPRA Paper 51356, University Library of Munich, Germany.
  55. Chew Lian Chua & Sandy Suardi, 2005. "Is There a Unit Root in East-Asian Short-Term Interest Rates?," Melbourne Institute Working Paper Series wp2005n14, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  56. Baba, Naohiko & Sakurai, Yuji, 2011. "When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1450-1463, June.
  57. 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.
  58. Ming-Yuan Leon Li & Hsiou-Wei William Lin & Rau Hsiu-hua, 2005. "The performance of the Markov-switching model on business cycle identification revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 513-520.
  59. Marcelle Chauvet & Jeremy M. Piger, 2005. "A comparison of the real-time performance of business cycle dating methods," Working Papers 2005-021, Federal Reserve Bank of St. Louis.
  60. Maximo Camacho & Gabriel Perez-Quiros & Pilar Poncela, 2012. "Markov-switching dynamic factor models in real time," Working Papers 1205, Banco de España;Working Papers Homepage.
  61. Diego Escobari, 2013. "Asymmetric Price Adjustments in Airlines," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 34(2), pages 74-85, 03.
  62. Chauvet, Marcelle & Senyuz, Zeynep & Yoldas, Emre, 2015. "What does financial volatility tell us about macroeconomic fluctuations?," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 340-360.
  63. Florian Höppner & Katrin Wesche, 2000. "Non-linear Effects of Fiscal Policy in Germany: A Markov-Switching Approach," Bonn Econ Discussion Papers bgse9_2000, University of Bonn, Germany.
  64. Michael J. Dueker, 1993. "Indicators of monetary policy: the view from implicit feedback rules," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 23-40.
  65. Djuric, Ivan & Goetz, Linde & Glauben, Thomas, 2011. "Influences Of The Governmental Market Interventions On Wheat Markets In Serbia During The Food Crisis 2007/2008," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114438, European Association of Agricultural Economists.
  66. Marius Acatrinei, 2015. "Volatility spillover across energy indices of the stock markets," Romanian Statistical Review, Romanian Statistical Review, vol. 63(2), pages 5-13, June.
  67. Henry, Olan T. & Shields, Kalvinder, 2004. "Is there a unit root in inflation?," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 481-500, September.
  68. Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling, 2006. "Markov-switching model selection using Kullback-Leibler divergence," Journal of Econometrics, Elsevier, vol. 134(2), pages 553-577, October.
  69. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007. "A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors," Cahiers de recherche 0741, CIRPEE.
  70. MacDonald, Ronald & Nagayasu, Jun, 2015. "Currency forecast errors and carry trades at times of low interest rates: Evidence from survey data on the yen/dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 1-19.
  71. Konstantin A. Kholodilin, 2005. "Forecasting the Turns of German Business Cycle: Dynamic Bi-factor Model with Markov Switching," Discussion Papers of DIW Berlin 494, DIW Berlin, German Institute for Economic Research.
  72. Michael A. Flor & Torben Klarl, 2015. "On the Cyclicity of Regional House Prices: New Evidence for U.S. Metropolitan Statistical Areas," CESifo Working Paper Series 5471, CESifo Group Munich.
  73. Chang-Jin Kim & Chris Murray, 1999. "Permanent and Transitory Nature of Recessions," Working Papers 0041, University of Washington, Department of Economics.
  74. Hiroshi Ishijima & Masaki Uchida, 2011. "The Regime Switching Portfolios," Asia-Pacific Financial Markets, Springer, vol. 18(2), pages 167-189, May.
  75. Monika Kośko & Marta Kwiecień & Joanna Stempińska, 2016. "Przełącznikowe modele Markowa (MS) – charakterystyka i sposoby zastosowań w badaniach ekonomicznych," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 40, pages 479-490.
  76. repec:wyi:journl:002127 is not listed on IDEAS
  77. Duncan Fong & Wayne DeSarbo, 2007. "A Bayesian methodology for simultaneously detecting and estimating regime change points and variable selection in multiple regression models for marketing research," Quantitative Marketing and Economics, Springer, vol. 5(4), pages 427-453, December.
  78. Mauricio Drelichman, 2004. "The Curse of Moctezuma: American Silver and the Dutch Disease, 1501-1650," Economic History 0404001, EconWPA.
  79. Konstantin A. Kholodilin, 2005. "Forecasting the German Cyclical Turning Points: Dynamic Bi-Factor Model with Markov Switching," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 225(6), pages 653-674, November.
  80. repec:spr:compst:v:79:y:2014:i:1:p:1-30 is not listed on IDEAS
  81. Rocha, Jordano Vieira & Pereira, Pedro L. Valls, 2015. "Forecast comparison with nonlinear methods for Brazilian industrial production," Textos para discussão 397, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  82. Sylvia Frühwirth-Schnatter, 2001. "Fully Bayesian Analysis of Switching Gaussian State Space Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 31-49, March.
  83. Nason, James M. & Tallman, Ellis W., 2015. "Business Cycles And Financial Crises: The Roles Of Credit Supply And Demand Shocks," Macroeconomic Dynamics, Cambridge University Press, vol. 19(04), pages 836-882, June.
  84. Janczura, Joanna & Weron, Rafal, 2009. "Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions," MPRA Paper 18784, University Library of Munich, Germany.
  85. Michel Beine & Paul De Grauwe & Marianna Grimaldi, 2008. "The impact of FX Central Bank Intervention in a Noise Trading Framework," CREA Discussion Paper Series 08-15, Center for Research in Economic Analysis, University of Luxembourg.
  86. Chunming Yuan, 2008. "Forecasting Exchange Rates: The Multi-State Markov-Switching Model with Smoothing," UMBC Economics Department Working Papers 09-115, UMBC Department of Economics, revised 01 Nov 2009.
  87. Kim, Jaeho, 2015. "Bayesian Inference in a Non-linear/Non-Gaussian Switching State Space Model: Regime-dependent Leverage Effect in the U.S. Stock Market," MPRA Paper 67153, University Library of Munich, Germany.
  88. E. Otranto, 2015. "Adding Flexibility to Markov Switching Models," Working Paper CRENoS 201509, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  89. Jeremy J. Nalewaik, 2006. "Estimating probabilities of recession in real time using GDP and GDI," Finance and Economics Discussion Series 2007-07, Board of Governors of the Federal Reserve System (U.S.).
  90. Karamé, F., 2012. "An algorithm for generalized impulse-response functions in Markov-switching structural VAR," Economics Letters, Elsevier, vol. 117(1), pages 230-234.
  91. Marcelle Chauvet & Jeremy Piger, 2013. "Employment And The Business Cycle," Manchester School, University of Manchester, vol. 81, pages 16-42, October.
  92. Tatsuma Wada & Pierre Perron, 2005. "An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2005-43, Boston University - Department of Economics.
  93. Muriel Nguiffo-Boyom, 2006. "Un indicateur de retournement conjoncturel pour la France : une application du modèle à facteur avec changements de régimes," Économie et Prévision, Programme National Persée, vol. 172(1), pages 101-114.
  94. Charles Nelson & Christian Murray, 1997. "The Uncertain Trend in U.S. GDP," Computational Economics 9702001, EconWPA.
  95. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
  96. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
  97. Kosater, Peter, 2006. "On the impact of weather on German hourly power prices," Discussion Papers in Econometrics and Statistics 1/06, University of Cologne, Institute of Econometrics and Statistics.
  98. Frank Schorfheide, 2003. "Learning and monetary policy shifts," FRB Atlanta Working Paper 2003-23, Federal Reserve Bank of Atlanta.
  99. Nagayasu, Jun, 2013. "The Forward Premium Puzzle And The Euro," MPRA Paper 45746, University Library of Munich, Germany.
  100. Hendricks, Torben W. & Kempa, Bernd, 2009. "The credit channel in U.S. economic history," Journal of Policy Modeling, Elsevier, vol. 31(1), pages 58-68.
  101. Elcyon Caiado Rocha Lima, 2015. "The Nairu, Unemployment and the Rate of Inflation in Brazil," Discussion Papers 0094, Instituto de Pesquisa Econômica Aplicada - IPEA.
  102. Lin, Boqiang & Wesseh, Presley K., 2013. "What causes price volatility and regime shifts in the natural gas market," Energy, Elsevier, vol. 55(C), pages 553-563.
  103. Philippe Charlot & Vêlayoudom Marimoutou, 2011. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model (version révisée)," Working Papers hal-00605965, HAL.
  104. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2012. "Combination schemes for turning point predictions," Working Paper 2012/04, Norges Bank.
  105. Toshiaki Watanabe & Hirokuni Uchiyama, 2005. "Structural Change in Japanese Business Fluctuations and Nikkei 225 Stock Index Futures Transactions," Public Policy Review, Policy Research Institute, Ministry of Finance Japan, vol. 1(1), pages 19-32, March.
  106. Flavin, Thomas J. & Sheenan, Lisa, 2015. "The role of U.S. subprime mortgage-backed assets in propagating the crisis: Contagion or interdependence?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 167-186.
  107. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance icma-dp2006-08, Henley Business School, Reading University.
  108. Luke Hartigan, 2015. "Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?," Discussion Papers 2015-17, School of Economics, The University of New South Wales.
  109. Golosnoy, Vasyl & Hogrefe, Jens, 2009. "Sequential methodology for signaling business cycle turning points," Kiel Working Papers 1528, Kiel Institute for the World Economy (IfW).
  110. Tom Boot & Andreas Pick, 2014. "Optimal forecasts from Markov switching models," DNB Working Papers 452, Netherlands Central Bank, Research Department.
  111. Jeremy Schwartz, 2012. "Labor market dynamics over the business cycle: evidence from Markov switching models," Empirical Economics, Springer, vol. 43(1), pages 271-289, August.
  112. Nelson Areal & Benilde Oliveira & Raquel Sampaio, 2015. "When times get tough, gold is golden," The European Journal of Finance, Taylor & Francis Journals, vol. 21(6), pages 507-526, April.
  113. Djuric, Ivan & Gotz, Linde & Glauben, Thomas, 2012. "Vertical Price Transmission in Serbian Wheat-to-Bread Supply Chain during the Global Commodity Price Peaks 2007/2008 and 2010/2011," 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 126775, International Association of Agricultural Economists.
  114. Guillaume Guerrero & Nicolas Million, 2004. "Instabilité de la courbe de Phillips aux Etats-Unis : un modèle explicatif à changements de régimes," Cahiers de la Maison des Sciences Economiques v04048, Université Panthéon-Sorbonne (Paris 1).
  115. Chao-Chun Chen & Wen-Jen Tsay, 2007. "Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton," IEAS Working Paper : academic research 07-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  116. Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C., 2013. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," Energy Economics, Elsevier, vol. 38(C), pages 96-110.
  117. Zhou, Tianni & Shumway, Robert, 2008. "One-step approximations for detecting regime changes in the state space model with application to the influenza data," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2277-2291, January.
  118. Matsushita, Kyohei & Yamane, Fumihiro & Asano, Kota, 2016. "Linkage between crop diversity and agro-ecosystem resilience: Nonmonotonic agricultural response under alternate regimes," Ecological Economics, Elsevier, vol. 126(C), pages 23-31.
  119. Xiao Qin & Gee Kwang Randolph Tan, 2005. "Unit Root Tests With Markov-Switching," Computing in Economics and Finance 2005 95, Society for Computational Economics.
  120. Stéphane Goutte, 2012. "Conditional Markov regime switching model applied to economic modelling," Working Papers hal-00747479, HAL.
  121. Marie Bessec, 2015. "Revisiting the transitional dynamics of business-cycle phases with mixed frequency data," Post-Print hal-01276824, HAL.
  122. Alessandro Rossi & Giampiero M. Gallo, 2002. "Volatility Estimation via Hidden Markov Models," Econometrics Working Papers Archive wp2002_14, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  123. Bazdresch, Santiago & Werner, Alejandro, 2005. "Regime switching models for the Mexican peso," Journal of International Economics, Elsevier, vol. 65(1), pages 185-201, January.
  124. Roland G. Shami & Catherine S. Forbes, 2002. "Non-linear Modelling of the Australian Business Cycle using a Leading Indicator," Monash Econometrics and Business Statistics Working Papers 5/02, Monash University, Department of Econometrics and Business Statistics.
  125. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 385-407, July.
  126. Constantino Hevia & Martin Gonzalez-Rozada & Martin Sola & Fabio Spagnolo, 2014. "Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model," BCAM Working Papers 1403, Birkbeck Centre for Applied Macroeconomics.
  127. James Morley & Jeremy M. Piger, 2005. "A steady-state approach to trend/cycle decomposition of regime-switching processes," Working Papers 2004-006, Federal Reserve Bank of St. Louis.
  128. Barnett, William A. & Chauvet, Marcelle & Leiva-Leon, Danilo, 2014. "Real-Time Nowcasting Nominal GDP Under Structural Break," MPRA Paper 53699, University Library of Munich, Germany.
  129. Sun, Licheng, 2005. "Regime shifts in interest rate volatility," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 418-434, June.
  130. Michael J. Dueker, 1995. "Compound volatility processes in EMS exchange rates," Working Papers 1994-016, Federal Reserve Bank of St. Louis.
  131. Humala, Alberto & Rodríguez, Gabriel, 2009. "Estimation of a Time Varying Natural Interest Rate for Peru," Working Papers 2009-009, Banco Central de Reserva del Perú.
  132. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
  133. Choi, Kyongwook & Hammoudeh, Shawkat, 2010. "Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment," Energy Policy, Elsevier, vol. 38(8), pages 4388-4399, August.
  134. Giorgio Canarella & Stephen Pollard, 2007. "A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 54(4), pages 445-462, December.
  135. Vassilios Babalos & Mehmet Balcilar & Rangan Gupta & Nikolaos Philippas, 2014. "Revisiting Herding Behavior in REITs: A RegimeSwitching Approach," Working Papers 15-15, Eastern Mediterranean University, Department of Economics.
  136. Graflund, Andreas & Nilsson, Birger, 2002. "Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon," Working Papers 2002:8, Lund University, Department of Economics.
  137. Calice, Giovanni & Miao, RongHui & Štěrba, Filip & Vašíček, Bořek, 2014. "Short-term determinants of the idiosyncratic sovereign risk premium: a regime-dependent analysis for european credit default swaps," Working Paper Series 1717, European Central Bank.
  138. Visser, Ingmar & Speekenbrink, Maarten, 2010. "depmixS4: An R Package for Hidden Markov Models," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 36(i07).
  139. Fiorentini, Gabriele & Planas, Christophe & Rossi, Alessandro, 2016. "Skewness and kurtosis of multivariate Markov-switching processes," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 153-159.
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