Markov-Switching MIDAS Models

DOI10.1080/07350015.2012.727721MaRDI QIDQ6666901zbMATH OpenFDO

Authors Pierre Guérin, Massimiliano Marcellino

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2012.727721

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cited in

(4)

• Detecting bearish and bullish markets in financial time series using hierarchical hidden Markov models
• A zero-inflated hidden semi-Markov model with covariate-dependent sojourn parameters for analysing marine data in the Venice lagoon
• Bayesian multivariate semi-Markov-switching MIxed DAta Sampling (MIDAS) regression with unknown configuration of hidden regimes
• Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity

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