A new approach to model regime switching
DOI10.1016/J.JECONOM.2016.09.005zbMATH Open1443.62438OpenAlexW2530061651MaRDI QIDQ341901FDOQ341901
Authors: Yongok Choi, Joon Y. Park, Yoosoon Chang 
Publication date: 17 November 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.09.005
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Estimation of Markov regime-switching regression models with endogenous switching
- On leverage in a stochastic volatility model
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- Testing for Regime Switching
- Calculating posterior distributions and modal estimates in Markov mixture models
- Dynamic linear models with Markov-switching
- Specification testing in Markov-switching time-series models
- Moments of Markov switching models
- Markov-switching models with endogenous explanatory variables
- Markov-switching models with endogenous explanatory variables. II: A two-step MLE procedure
- Estimation of state-space models with endogenous Markov regime-switching parameters
Cited In (19)
- How to go viral: a COVID-19 model with endogenously time-varying parameters
- An adaptive regime-switching regression model for hedge funds
- Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach
- Revisiting the transitional dynamics of business cycle phases with mixed-frequency data
- Estimation of state-space models with endogenous Markov regime-switching parameters
- Testing for observation-dependent regime switching in mixture autoregressive models
- Accounting for regime and parameter uncertainty in regime-switching models
- A spectral element method for option pricing under regime-switching with jumps
- Learning about the across-regime correlation in switching regression models
- Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
- Estimation of Markov regime-switching regression models with endogenous switching
- A structured variational learning approach for switching latent factor models
- Estimating a regime switching pairs trading model
- Origins of monetary policy shifts: a new approach to regime switching in DSGE models
- Filtering a Double Threshold Model With Regime Switching
- A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
- Regime switching models for circular and linear time series
- Regime switching panel data models with interactive fixed effects
- Title not available (Why is that?)
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