Moments of Markov switching models
From MaRDI portal
Publication:1973430
DOI10.1016/S0304-4076(99)00051-2zbMath0970.60076MaRDI QIDQ1973430
Publication date: 6 October 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Discrete-time Markov processes on general state spaces (60J05) Network design and communication in computer systems (68M10)
Related Items (58)
Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models ⋮ ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES ⋮ FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS ⋮ EWMA Control Charts for Monitoring Optimal Portfolio Weights ⋮ Term structure of risk under alternative econometric specifications ⋮ Multivariate Jacobi process with application to smooth transitions ⋮ Pricing barrier options by a regime switching model ⋮ SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS ⋮ A new approach to model regime switching ⋮ An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk ⋮ Skewness and kurtosis of multivariate Markov-switching processes ⋮ Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model ⋮ Moments, shocks and spillovers in Markov-switching VAR models ⋮ Efficient MCMC sampling in dynamic mixture models ⋮ A transform-based method for pricing Asian options under general two-dimensional models ⋮ Identification-robust moment-based tests for Markov switching in autoregressive models ⋮ Methods for measuring expectations and uncertainty in Markov-switching models ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ Linear approximation of the threshold autoregressive model: an application to order estimation ⋮ A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns ⋮ Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models ⋮ A duscrete-time model of high-frequency stock returns ⋮ HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS ⋮ Eliminating the omitted variable bias by a regime-switching approach ⋮ A long memory model with normal mixture GARCH ⋮ Temporal aggregation of equity return time-series models ⋮ Financial contagion, spillovers and causality in the Markov switching framework ⋮ Modeling the coupled return-spread high frequency dynamics of large tick assets ⋮ Sequential monitoring of minimum variance portfolio ⋮ Space-time transport schemes and homogenization. I: general theory of Markovian and non-Markovian processes ⋮ The autocorrelation structure of the Markov-switching asymmetric power GARCH process ⋮ A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK ⋮ Recent developments in volatility modeling and applications ⋮ On the forecasting ability of ARFIMA models when infrequent breaks occur ⋮ Hidden Markov Mixture Autoregressive Models: Stability and Moments ⋮ A note on the autocorrelation properties of temporally aggregated Markov switching Gaussian models ⋮ Modeling and managing portfolios including listed private equity ⋮ The regime switching portfolios ⋮ Log mean-variance portfolio selection under regime switching ⋮ Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities ⋮ Efficiently pricing barrier options in a Markov-switching framework ⋮ Long memory and regime switching ⋮ Regime switching volatility calibration by the Baum-Welch method ⋮ Portfolio Selection with Common Correlation Mixture Models ⋮ Local law and Tracy-Widom limit for sparse sample covariance matrices ⋮ Sequential detection of switches in models with changing structures ⋮ Temporal aggregation of Markov-switching financial return models ⋮ A transitional Markov switching autoregressive model ⋮ Third and fourth moments of vector autoregressions with regime switching ⋮ Asset allocation under multivariate regime switching ⋮ On Joint Determination of the Number of States and the Number of Variables in Markov-Switching Models: A Monte Carlo Study ⋮ Value-at-risk via mixture distributions reconsidered ⋮ Backtesting expected shortfall and beyond ⋮ Misspecified structural change, threshold, and Markov-switching models. ⋮ Bad environments, good environments: a non-Gaussian asymmetric volatility model ⋮ Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction ⋮ Random coefficient mixture (RCM) GARCH models
Cites Work
- Unnamed Item
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Autoregressive conditional heteroskedasticity and changes in regime
- Testing for ARCH in the presence of a possibly misspecified conditional mean
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- "Infinite Variance" and Research Strategy in Time Series Analysis
This page was built for publication: Moments of Markov switching models