Add to ORKGRecent decades have seen extensive interest in time-varying parameter models of macroeconomic and financial time series. One notable set of models are regime-switching regressions, which date to at least Quandt (1958). Goldfeld and Quandt (1973) introduced a particularly useful version of these models, referred to in the following as a Markov-switching model, in which the latent state variable controlling regime shifts follows
We consider Markov-switching regression models, i.e. models for time series regression analyses wher...
The ability ofMarkov-switching (MS) autoregressive models to replicate selected classical business-c...
Since Hamilton (1989) introduced regime-switching models to analyze the salient features of aggregat...
Abstract: Modelling the growth rate of economic time series with a Markov switching process in their...
Following Hamilton (1989), estimation of Markov regime-switching regressions nearly always relies on...
Research Paper Series (National University of Singapore. Faculty of Business Administration); 2003-0...
Motivated by the great moderation in major U.S. macroeconomic time series, we formulate the regime s...
Motivated by the great moderation in major U.S. macroeconomic time series, we formulate the regime s...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
Markov switching models are a family of models that introduces time variation in the parameters in t...
This article presents a new way of modeling time-varying volatility. We generalize the usual stochas...
Markov switching models are useful because of their ability to capture simple dynamics and important...
Markov switching models are useful because of their ability to capture simple dynamics and important...
This article presents a new way of modeling time-varying volatility. We generalize the usual stochas...
We consider Markov-switching regression models, i.e. models for time series regression analyses wher...
The ability ofMarkov-switching (MS) autoregressive models to replicate selected classical business-c...
Since Hamilton (1989) introduced regime-switching models to analyze the salient features of aggregat...
Abstract: Modelling the growth rate of economic time series with a Markov switching process in their...
Following Hamilton (1989), estimation of Markov regime-switching regressions nearly always relies on...
Research Paper Series (National University of Singapore. Faculty of Business Administration); 2003-0...
Motivated by the great moderation in major U.S. macroeconomic time series, we formulate the regime s...
Motivated by the great moderation in major U.S. macroeconomic time series, we formulate the regime s...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
The ability of Markov-switching (MS) autoregressive models to replicate selected classical business ...
Markov switching models are a family of models that introduces time variation in the parameters in t...
This article presents a new way of modeling time-varying volatility. We generalize the usual stochas...
Markov switching models are useful because of their ability to capture simple dynamics and important...
Markov switching models are useful because of their ability to capture simple dynamics and important...
This article presents a new way of modeling time-varying volatility. We generalize the usual stochas...
We consider Markov-switching regression models, i.e. models for time series regression analyses wher...
The ability ofMarkov-switching (MS) autoregressive models to replicate selected classical business-c...
Since Hamilton (1989) introduced regime-switching models to analyze the salient features of aggregat...