Exploring the dynamics of business survey data using Markov models

DOI10.1007/S10287-019-00354-4MaRDI QIDQ2010373zbMATH OpenOpenAlexFDO

Authors W. Hölzl, Yuri M. Kaniovski, Serguei Kaniovski

Publication date 27 November 2019

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-019-00354-4

zbMATH Keywords

business cyclebusiness tendency surveyscoupled Markov chainmultinomial distribution

Mathematics Subject Classification ID

Operations research and management science (90Bxx) Nonlinear programming (90C30) Applications of mathematical programming (90C90)

Recommendations

• New proposals for the quantification of qualitative survey data
• Markov-switching models with applications in macroeconomics and finance
• Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods
• Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
• A Markov switching model with stochastic regimes with application to business cycle analysis

Cites work

• A coupled Markov chain approach to credit risk modeling
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Business cycle durations
• Finite mixture and Markov switching models.
• Identification of hidden Markov chains governing dependent credit-rating migrations
• Latent Variable Modelling: A Survey*
• Latent variable models for the analysis of socio-economic data
• Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence

Cited in

(1)

• Numerical estimates of risk factors contingent on credit ratings

This page was built for publication: Exploring the dynamics of business survey data using Markov models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2010373)