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Cites work
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- 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
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Cited in
(only showing first 100 items - show all)- Identification of causal factor models of stationary time series
- A lattice method for option evaluation with regime-switching asset correlation structure
- What does financial volatility tell us about macroeconomic fluctuations?
- Score-driven multi-regime Markov-switching EGARCH: empirical evidence using the Meixner distribution
- Estimation and inference for high dimensional factor model with regime switching
- Stochastic DDM with regime-switching process
- Wavelet estimation of state space models
- Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models
- Log mean-variance portfolio selection under regime switching
- A regime switching model for temperature modeling and applications to weather derivatives pricing
- Mortality regimes and longevity risk in a life annuity portfolio
- MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH
- Volatility spillovers, interdependence and comovements: a Markov switching approach
- Modelling mortality dependence with regime-switching copulas
- Real-time nowcasting of nominal GDP with structural breaks
- Mixed-frequency VAR models with Markov-switching dynamics
- Analysis of single particle diffusion with transient binding using particle filtering
- Monetary policy and long‐term interest rates
- Partially hidden Markov chain multivariate linear autoregressive model: inference and forecasting -- application to machine health prognostics
- Reversible jump and the label switching problem in hidden Markov models
- A time varying hidden Markov model with latent information
- Exact filtering in conditionally Markov switching hidden linear models
- Asymptotic Fisher information matrix of Markov switching VARMA models
- Bootstrap-based evaluation of markov-switching time series models
- Semi-parametric dynamic time series modelling with applications to detecting neural dynamics
- Regime-switching temperature dynamics model for weather derivatives
- Regime switching state-space models applied to psychological processes: handling missing data and making inferences
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
- Dynamic hysteresis effects
- Markov-switching model selection using Kullback-Leibler divergence
- Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
- Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter
- A Markov switching model with stochastic regimes with application to business cycle analysis
- First-order binomial autoregressive processes with Markov-switching coefficients
- Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method
- Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
- An extension of Yoshida, Imoto, Higuchi and Miyano result
- Forecasting inflation using dynamic model averaging
- A new smoothing algorithm for jump Markov linear systems
- On classifying the effects of policy announcements on volatility
- scientific article; zbMATH DE number 2033191 (Why is no real title available?)
- Evaluating specification tests for Markov-switching time-series models
- State space Markov switching models using wavelets
- Regime switching for dynamic correlations
- Volatility comovement: a multifrequency approach
- On stochastic dynamic modeling of incidence data
- High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
- Modelling covariance matrices by the trigonometric separation strategy with application to hidden Markov models
- Variable Selection in Switching Dynamic Regression Models
- Markov-switching state space models for uncovering musical interpretation
- Asymptotic behavior of the maximum likelihood estimator for general Markov switching models
- Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
- Switching state-space models: likelihood function, filtering and smoothing
- MCMC for Markov-switching models -- Gibbs sampling vs. marginalized likelihood
- Weak VARMA representations of regime-switching state-space models
- Modeling Covid-19 contagion dynamics: time-series analysis across different countries and subperiods
- Stability of reaction-diffusion systems with stochastic switching
- Asymptotic behavior for Markovian iterated function systems
- Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
- Dynamics of variance risk premia: a new model for disentangling the price of risk
- Approximate forward-backward algorithm for a switching linear Gaussian model
- Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
- Time-consistent mean-variance pairs-trading under regime-switching cointegration
- Analysis of the likelihood function for Markov-switching VAR(CH) models
- Maximum likelihood estimation for quantile autoregression models with Markovian switching
- Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model
- An options pricing approach to ramping rate restrictions at hydro power plants
- Exact smoothing in hidden conditionally Markov switching linear models
- Divergent perpetuities modulated by regime switches
- Adaptive risk-sensitive filter for Markovian jump linear systems
- An extensive study on Markov switching models with endogenous regressors
- Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
- Seven things to remember about hidden Markov models: A tutorial on Markovian models for time series
- Automatic selective intervention in dynamic linear models
- On the stability of Calvo-style price-setting behavior
- Skewness and kurtosis of multivariate Markov-switching processes
- Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
- Implied distributions in multiple change point problems
- Markov switching stochastic frontier model
- An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models
- Optimal Forecasts from Markov Switching Models
- A switching state-space transmission model for tracking epidemics and assessing interventions
- Strategic interactions in U.S. monetary and fiscal policies
- 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
- Markov-switching state-space models with applications to neuroimaging
- Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area
- The regime switching portfolios
- A numerical filtering method for linear state-space models with Markov switching
- Efficient MCMC sampling in dynamic mixture models
- Parameter estimation for jump Markov linear systems
- Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models
- Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
- First-order integer-valued autoregressive process with Markov-switching coefficients
- Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models
- Efficient estimation of Markov regime-switching models: an application to electricity spot prices
- Approximate posterior distributions for convolutional two-level hidden Markov models
- Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
- scientific article; zbMATH DE number 2133112 (Why is no real title available?)
- Portfolio Selection with Common Correlation Mixture Models
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