Dynamic linear models with Markov-switching
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Publication:1318985
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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maximum likelihood estimationdependenceMarkov-switching modelbasic filtering and smoothing algorithmdynamic linear models with switchinggeneral state-space modelgeneralized Hamilton model
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
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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
- 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
- Partially hidden Markov chain multivariate linear autoregressive model: inference and forecasting -- application to machine health prognostics
- A time varying hidden Markov model with latent information
- Dynamic hysteresis effects
- Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter
- First-order binomial autoregressive processes with Markov-switching coefficients
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- On stochastic dynamic modeling of incidence data
- Variable Selection in Switching Dynamic Regression Models
- Asymptotic behavior of the maximum likelihood estimator for general Markov switching models
- Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
- MCMC for Markov-switching models -- Gibbs sampling vs. marginalized likelihood
- Modeling Covid-19 contagion dynamics: time-series analysis across different countries and subperiods
- Maximum likelihood estimation for quantile autoregression models with Markovian switching
- Adaptive risk-sensitive filter for Markovian jump linear systems
- Optimal Forecasts from Markov Switching Models
- A switching state-space transmission model for tracking epidemics and assessing interventions
- An EM-Based Viterbi Approximation Algorithm for Mixed-State Latent Factor Models
- Inference on Filtered and Smoothed Probabilities in Markov-Switching Autoregressive Models
- LEARNING ABOUT REGIME CHANGE
- Analyzing the effect of time-varying factors for Thai rice export
- Random autoregressive models: a structured overview
- Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
- Markov-switching models with unknown error distributions: identification and inference within the Bayesian framework
- Parameter estimation methods of required rate of return on stock
- Closed-form likelihood function of Markov-switching models.
- Output fluctuations persistence: do cyclical shocks matter?
- Why Markov switching models work well: an explanation
- 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
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