Dynamic linear models with Markov-switching
From MaRDI portal
Recommendations
- Switching Linear Models: A General Approach
- Explicit-duration Markov switching models
- A transitional Markov switching autoregressive model
- Nonstationarities and Markov switching models
- Markov-switching generalized additive models
- Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
Cites work
- scientific article; zbMATH DE number 3786627 (Why is no real title available?)
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- scientific article; zbMATH DE number 3545060 (Why is no real title available?)
- A Markov model for switching regressions
- A New Approach to Estimating Switching Regressions
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A Test for a Shifting Slope Coefficient in a Linear Model
- A new test for structural stability in the linear regression model
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- Tests of the Hypothesis that a Linear Regression System Obeys Two Separate Regimes
- The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes
- The likelihood ratio test for a change-point in simple linear regression
- Time-series segmentation: A model and a method
- Tracking methods in a multitarget environment
Cited in
(only showing first 100 items - show all)- Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area
- A trend-switching financial time series model with level-duration dependence
- OLS estimation of Markov switching VAR models: asymptotics and application to energy use
- Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models
- On classifying the effects of policy announcements on volatility
- A new smoothing algorithm for jump Markov linear systems
- Divergent perpetuities modulated by regime switches
- The shifting dependence dynamics between the G7 stock markets
- Markov-switching state-space models with applications to neuroimaging
- On the stability of Calvo-style price-setting behavior
- A transitional Markov switching autoregressive model
- Skewness and kurtosis of multivariate Markov-switching processes
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- Portfolio Selection with Common Correlation Mixture Models
- Modelling covariance matrices by the trigonometric separation strategy with application to hidden Markov models
- Markov switching quantile autoregression
- Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
- Markov switching quantile regression models with time-varying transition probabilities
- Markov switching GARCH models: filtering, approximations and duality
- State space Markov switching models using wavelets
- Moments, shocks and spillovers in Markov-switching VAR models
- Structural change in the link between oil and the European stock market: implications for risk management
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- Asymptotic behavior for Markovian iterated function systems
- Dynamics of variance risk premia: a new model for disentangling the price of risk
- Parameter estimation for partially observable systems subject to random failure
- A lattice method for option evaluation with regime-switching asset correlation structure
- Markov-switching state space models for uncovering musical interpretation
- An options pricing approach to ramping rate restrictions at hydro power plants
- Analysis of the likelihood function for Markov-switching VAR(CH) models
- Dynamic linear seasonal models applied to extreme temperature data: a Bayesian approach using the r-larger order statistics distribution
- Real-time nowcasting of nominal GDP with structural breaks
- Valuation of swing options under a regime-switching mean-reverting model
- Wavelet estimation of state space models
- Evaluating specification tests for Markov-switching time-series models
- Parameter estimation of Markov switching bilinear model using the (EM) algorithm
- Functional coefficient autoregressive conditional root model
- A model of the euro-area yield curve with discrete policy rates
- Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy
- An efficient sequential learning algorithm in regime-switching environments
- An effcient exact Bayesian method for state space models with stochastic volatility
- How do volatility regimes affect the pricing of quality and liquidity in the stock market?
- Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
- Regime-switching temperature dynamics model for weather derivatives
- Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method
- Approximate posterior distributions for convolutional two-level hidden Markov models
- Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
- Robust and efficient specification tests in Markov-switching autoregressive models
- High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
- Asymptotic Fisher information matrix of Markov switching VARMA models
- scientific article; zbMATH DE number 2133112 (Why is no real title available?)
- Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions
- A Markov switching model with stochastic regimes with application to business cycle analysis
- Efficient estimation of Markov regime-switching models: an application to electricity spot prices
- Parameter estimation in a condition-based maintenance model
- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models
- Explicit-duration Markov switching models
- A new approach to model regime switching
- Seven things to remember about hidden Markov models: A tutorial on Markovian models for time series
- Regime switching for dynamic correlations
- Volatility comovement: a multifrequency approach
- Econometric analysis of financial trade processes by discrete mixture duration models
- Bootstrap-based evaluation of markov-switching time series models
- Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
- Markov switching stochastic frontier model
- Exact smoothing in hidden conditionally Markov switching linear models
- Learning switching dynamic models for objects tracking
- Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics
- Markov-switching model selection using Kullback-Leibler divergence
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
- Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
- Analysis of single particle diffusion with transient binding using particle filtering
- Mixed-frequency VAR models with Markov-switching dynamics
- Monetary policy and long‐term interest rates
- Switching state-space models: likelihood function, filtering and smoothing
- Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
- Parameter estimation for jump Markov linear systems
- Adding flexibility to Markov Switching models
- Volatility spillovers, interdependence and comovements: a Markov switching approach
- Regime switching state-space models applied to psychological processes: handling missing data and making inferences
- Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables
- One-step approximations for detecting regime changes in the state space model with application to the influenza data
- Origins of monetary policy shifts: a new approach to regime switching in DSGE models
- Mortality regimes and longevity risk in a life annuity portfolio
- Exact filtering in conditionally Markov switching hidden linear models
- First-order integer-valued autoregressive process with Markov-switching coefficients
- An extension of Yoshida, Imoto, Higuchi and Miyano result
- Strategic interactions in U.S. monetary and fiscal policies
- Reversible jump and the label switching problem in hidden Markov models
- Time-varying transition probabilities for Markov regime switching models
- Joint econometric modeling of spot electricity prices, forwards and options
- Modelling mortality dependence with regime-switching copulas
- A three-state Markov-modulated switching model for exchange rates
- Stability of reaction-diffusion systems with stochastic switching
- MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH
- Forecasting inflation using dynamic model averaging
- Expectation correction for smoothed inference in switching linear dynamical systems
- A regime switching model for temperature modeling and applications to weather derivatives pricing
- The regime switching portfolios
- Automatic selective intervention in dynamic linear models
This page was built for publication: Dynamic linear models with Markov-switching
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1318985)
