Dynamic linear models with Markov-switching

DOI10.1016/0304-4076(94)90036-1zbMATH Open0795.62104OpenAlexW2014378975MaRDI QIDQ1318985FDOQ1318985

Authors: Chang-Jin Kim 

Publication date: 18 September 1994

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90036-1

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zbMATH Keywords

maximum likelihood estimationdependenceMarkov-switching modelbasic filtering and smoothing algorithmdynamic linear models with switchinggeneral state-space modelgeneralized Hamilton model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

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Cited In (only showing first 100 items - show all)

• A lattice method for option evaluation with regime-switching asset correlation structure
• Wavelet estimation of state space models
• Improved nonlinear multivariate financial time series prediction with mixed-state latent factor models
• Real-time nowcasting of nominal GDP with structural breaks
• Asymptotic Fisher information matrix of Markov switching VARMA models
• Regime-switching temperature dynamics model for weather derivatives
• Estimation of linear autoregressive models with Markov-switching, the E.M. algorithm revisited
• Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method
• On classifying the effects of policy announcements on volatility
• A new smoothing algorithm for jump Markov linear systems
• State space Markov switching models using wavelets
• Evaluating specification tests for Markov-switching time-series models
• 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
• Markov-switching state space models for uncovering musical interpretation
• Asymptotic behavior for Markovian iterated function systems
• Dynamics of variance risk premia: a new model for disentangling the price of risk
• Time-consistent mean-variance pairs-trading under regime-switching cointegration
• Analysis of the likelihood function for Markov-switching VAR(CH) models
• 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
• Divergent perpetuities modulated by regime switches
• On the stability of Calvo-style price-setting behavior
• Skewness and kurtosis of multivariate Markov-switching processes
• Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the euro area
• Markov-switching state-space models with applications to neuroimaging
• Approximate posterior distributions for convolutional two-level hidden Markov models
• Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
• Portfolio Selection with Common Correlation Mixture Models
• Markov switching quantile autoregression
• Functional coefficient autoregressive conditional root model
• OLS estimation of Markov switching VAR models: asymptotics and application to energy use
• The shifting dependence dynamics between the G7 stock markets
• Dynamic linear seasonal models applied to extreme temperature data: a Bayesian approach using the r-larger order statistics distribution
• Parameter estimation of Markov switching bilinear model using the (EM) algorithm
• Structural change in the link between oil and the European stock market: implications for risk management
• Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy
• A trend-switching financial time series model with level-duration dependence
• Parameter estimation for partially observable systems subject to random failure
• Valuation of swing options under a regime-switching mean-reverting model
• Robust and efficient specification tests in Markov-switching autoregressive models
• Moments, shocks and spillovers in Markov-switching VAR models
• Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure
• A transitional Markov switching autoregressive model
• A model of the euro-area yield curve with discrete policy rates
• 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?
• Markov switching quantile regression models with time-varying transition probabilities
• Markov switching GARCH models: filtering, approximations and duality
• What does financial volatility tell us about macroeconomic fluctuations?
• Mortality regimes and longevity risk in a life annuity portfolio
• Modelling mortality dependence with regime-switching copulas
• MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH
• A regime switching model for temperature modeling and applications to weather derivatives pricing
• Log mean-variance portfolio selection under regime switching
• Monetary policy and long‐term interest rates
• Mixed-frequency VAR models with Markov-switching dynamics
• Volatility spillovers, interdependence and comovements: a Markov switching approach
• Analysis of single particle diffusion with transient binding using particle filtering
• Reversible jump and the label switching problem in hidden Markov models
• Bootstrap-based evaluation of markov-switching time series models
• Exact filtering in conditionally Markov switching hidden linear models
• Semi-parametric dynamic time series modelling with applications to detecting neural dynamics
• Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
• Regime switching state-space models applied to psychological processes: handling missing data and making inferences
• A Markov switching model with stochastic regimes with application to business cycle analysis
• Markov-switching model selection using Kullback-Leibler divergence
• An extension of Yoshida, Imoto, Higuchi and Miyano result
• Forecasting inflation using dynamic model averaging
• Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations
• Regime switching for dynamic correlations
• Volatility comovement: a multifrequency approach
• Switching state-space models: likelihood function, filtering and smoothing
• Stability of reaction-diffusion systems with stochastic switching
• Weak VARMA representations of regime-switching state-space models
• Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
• Approximate forward-backward algorithm for a switching linear Gaussian model
• Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
• Exact smoothing in hidden conditionally Markov switching linear models
• Automatic selective intervention in dynamic linear models
• Simulation estimation of dynamic switching regression and dynamic disequilibrium models - some Monte Carlo results
• An extensive study on Markov switching models with endogenous regressors
• Seven things to remember about hidden Markov models: A tutorial on Markovian models for time series
• Markov switching stochastic frontier model
• Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
• Strategic interactions in U.S. monetary and fiscal policies
• Implied distributions in multiple change point problems
• A numerical filtering method for linear state-space models with Markov switching
• 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
• The regime switching portfolios
• Efficient MCMC sampling in dynamic mixture models
• Parameter estimation for jump Markov linear systems
• First-order integer-valued autoregressive process with Markov-switching coefficients
• Forecasting Markov-switching dynamic, conditionally heteroscedastic processes
• Title not available (Why is that?)
• Efficient estimation of Markov regime-switching models: an application to electricity spot prices
• Explicit-duration Markov switching models
• Optimal prediction with conditionally heteroskedastic factor analysed hidden Markov models

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