A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

DOI10.2307/1912559zbMath0685.62092OpenAlexW2074812030WikidataQ55970536 ScholiaQ55970536MaRDI QIDQ4203680

James D. Hamilton

Publication date: 1989

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/de6046f58a05a769b5aa526d95a09c5fa5e5b42c

zbMATH Keywords

business cyclenonstationary time seriesmean growth ratediscrete-state Markov process modelmodeling changes in regime

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Models and estimators ⋮ Time series properties of aggregate output fluctuations ⋮ New algorithms for dating the business cycle ⋮ Discontinuities in indirect estimation: an application to EAR models ⋮ Optimal monetary policy in a regime-switching economy: The response to abrupt shifts in exchange rate dynamics ⋮ Econometric analysis of financial trade processes by discrete mixture duration models ⋮ Rational bubbles. A test ⋮ Implied distributions in multiple change point problems ⋮ Asymptotic properties of nonlinear autoregressive Markov processes with state-dependent switching ⋮ Bayesian modelling of financial guarantee insurance ⋮ Modeling structural breaks in economic relationships using large shocks ⋮ Optimal portfolios with regime switching and value-at-risk constraint ⋮ Heterogeneous trading strategies with adaptive fuzzy actor-critic reinforcement learning: a behavioral approach ⋮ Efficiently pricing barrier options in a Markov-switching framework ⋮ A high-order Markov-switching model for risk measurement ⋮ Regime switching volatility calibration by the Baum-Welch method ⋮ Asian option as a fixed-point ⋮ Representing sudden shifts in intensive dyadic interaction data using differential equation models with regime switching ⋮ Pricing American options under multi-states: a radial basis collocation approach ⋮ Pricing exotic options under regime switching ⋮ Testing for linearity in Markov switching models: a bootstrap approach ⋮ A general autoregressive model with Markov switching: estimation and consistency ⋮ Small-time ruin for a financial process modulated by a Harris recurrent Markov chain ⋮ Get over it! A multilevel threshold autoregressive model for state-dependent affect regulation ⋮ Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach ⋮ Distribution switching in financial time series ⋮ Inference and prediction in a multiple-structural-break model ⋮ Regime-switching Pareto distributions for ACD models ⋮ Stylized facts of financial time series and hidden semi-Markov models ⋮ The informational content of insider trading disclosures: empirical results for the Polish stock market ⋮ On a Markov chain approximation method for option pricing with regime switching ⋮ Recursive smooth ambiguity preferences ⋮ Interpretation and inference in mixture models: simple MCMC works ⋮ Absorption of shocks in nonlinear autoregressive models ⋮ Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables ⋮ Volatility spillovers, interdependence and comovements: a Markov switching approach ⋮ Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference ⋮ Analysis of time series subject to changes in regime ⋮ Statistical nonlinearities in the business cycle: a challenge for the canonical RBC model ⋮ Asset allocation under multivariate regime switching ⋮ Leverage, options liabilities, and corporate bond pricing ⋮ Option pricing when the regime-switching risk is priced ⋮ Which econometric specification to characterize the U.S. inflation rate process? ⋮ Value-at-risk via mixture distributions reconsidered ⋮ Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics ⋮ Pricing and hedging defaultable participating contracts with regime switching and jump risk ⋮ A note on testing regime switching assumption based on recurrence times ⋮ Autoregressive statistical modeling of a Peru margin multi-proxy holocene record shows correlation not causation, flickering regimes and persistence ⋮ Real business cycles, investment finance, and multiple equilibria ⋮ A robust algorithm for parameter estimation in smooth transition autoregressive models ⋮ Business cycle durations ⋮ Switching state-space models: likelihood function, filtering and smoothing ⋮ Convergence of learning algorithms without a projection facility ⋮ Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching ⋮ Bayes factors and nonlinearity: Evidence from economic time series ⋮ Cotrending and the stationarity of the real interest rate ⋮ Explicit solutions to European options in a regime-switching economy ⋮ Optimal stopping behavior of equity-linked investment products with regime switching ⋮ A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process ⋮ The Impact of Intensity in Surveillance of Cyclical Processes ⋮ Empirical Characteristic Function Estimation and Its Applications ⋮ Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form ⋮ Option Valuation with a Discrete-Time Double Markovian Regime-Switching Model ⋮ Good-Deal Bounds in a Regime-Switching Diffusion Market ⋮ Mixed Hidden Markov Models for Longitudinal Data: An Overview ⋮ ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT ⋮ FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS ⋮ A stochastic differential game for optimal investment of an insurer with regime switching ⋮ HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE ⋮ Scenario Generation Methods that Replicate Crossing Times in Spatially Distributed Stochastic Systems ⋮ On the Optimal Management of Public Debt: a Singular Stochastic Control Problem ⋮ Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes ⋮ Unit root tests and dramatic shifts with infinite variance processes ⋮ PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING ⋮ LOCAL RISK-MINIMIZATION UNDER MARKOV-MODULATED EXPONENTIAL LÉVY MODEL ⋮ TESTING FOR THE MARKOV PROPERTY IN TIME SERIES ⋮ Minimum distance estimation of Markov-switching bilinear processes ⋮ Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model ⋮ On the estimation of regime-switching Lévy models ⋮ Specification analysis in regime-switching continuous-time diffusion models for market volatility ⋮ A Markov-switching regression model with non-Gaussian innovations: estimation and testing ⋮ Markov-switching quantile autoregression: a Gibbs sampling approach ⋮ Regime switching with structural breaks in output convergence ⋮ A hidden Markov regime-switching smooth transition model ⋮ Can a Taylor rule better explain the Fed's monetary policy through the 1920s and 1930s? A nonlinear cliometric analysis ⋮ Stabilization of Regime-Switching Processes by Feedback Control Based on Discrete Time Observations ⋮ Robust and efficient specification tests in Markov-switching autoregressive models ⋮ Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models ⋮ A regime switching skew-normal model of contagion ⋮ Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence ⋮ A model for ordinal responses with heterogeneous status quo outcomes ⋮ The term structure of eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach ⋮ Markov chain models for cardiac rhythm dynamics in patients undergoing catheter ablation of atrial fibrillation ⋮ How do volatility regimes affect the pricing of quality and liquidity in the stock market? ⋮ Bayesian inference for unit root in smooth transition autoregressive models and its application to OECD countries ⋮ Multivariate Markov-switching score-driven models: an application to the global crude oil market ⋮ The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks? ⋮ Recovering cointegration via wavelets in the presence of non-linear patterns ⋮ Bayesian Inference and Forecasting in Dynamic Neural Networks with Fully Markov Switching ARCH Noises ⋮ SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ ON MARKOV-SWITCHING ARMA PROCESSES—STATIONARITY, EXISTENCE OF MOMENTS, AND GEOMETRIC ERGODICITY ⋮ Modeling the coupled return-spread high frequency dynamics of large tick assets ⋮ Evaluating Specification Tests for Markov-Switching Time-Series Models ⋮ Space-time transport schemes and homogenization. I: general theory of Markovian and non-Markovian processes ⋮ MODULATED INFORMATION FLOWS IN FINANCIAL MARKETS ⋮ Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model ⋮ Kalman filtering and smoothing for model-based signal extraction that depend on time-varying spectra ⋮ Nonparametric inferences for kurtosis and conditional kurtosis ⋮ Monitoring cyclical processes. A non-parametric approach ⋮ Some statistical aspects of methods for detection of turning points in business cycles ⋮ International Business Cycle Asymmetry and Time Irreversible Nonlinearities ⋮ Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization ⋮ How useful are tests for unit‐root in distinguishing unit‐root processes from stationary but non‐linear processes? ⋮ Consistency of the maximum likelihood estimate for non-homogeneous Markov–switching models ⋮ Optimal Control of Uncertain Stochastic Systems with Markovian Switching and Its Applications to Portfolio Decisions ⋮ ADAPTIVE INVESTMENT STRATEGIES FOR PERIODIC ENVIRONMENTS ⋮ Portfolio Selection with Common Correlation Mixture Models ⋮ A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT ⋮ Identifying business cycle turning points with sequential Monte Carlo methods: an online and real-time application to the Euro area ⋮ Forecasting volatility with support vector machine-based GARCH model ⋮ A stochastic approximation algorithm for option pricing model calibration with a switchable market ⋮ An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes ⋮ On the Markov-switching bilinear processes: stationarity, higher-order moments and β-mixing ⋮ OUTPUT FLUCTUATIONS PERSISTENCE: DO CYCLICAL SHOCKS MATTER? ⋮ Markov-modulated Ornstein–Uhlenbeck processes ⋮ NONLINEARITIES IN THE DYNAMICS OF THE EURO AREA DEMAND FOR M1 ⋮ Selecting nonlinear time series models using information criteria ⋮ Autoregressive processes with data-driven regime switching ⋮ On an independent and identically distributed mixture bilinear time-series model ⋮ Modelling long-term investment returns via Bayesian infinite mixture time series models ⋮ Effect of Dependency in Systems for Multivariate Surveillance ⋮ Martingale Representation and Admissible Portfolio Process with Regime Switching ⋮ A transitional Markov switching autoregressive model ⋮ REGIME-SWITCHING AUTOREGRESSIVE COEFFICIENTS AND THE ASYMPTOTICS FOR UNIT ROOT TESTS ⋮ Markov Chain Monte Carlo Estimation of Regime Switching Vector Autoregressions ⋮ Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models ⋮ Regime Classification and Stock Loan Valuation ⋮ A generalized ARFIMA process with Markov-switching fractional differencing parameter ⋮ EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING ⋮ On Markov‐modulated Exponential‐affine Bond Price Formulae ⋮ Optimal Sequential Surveillance for Finance, Public Health, and Other Areas ⋮ Bayesian Approach to Markov Switching Stochastic Volatility Model with Jumps ⋮ Structure and estimation of a class of nonstationary yet nonexplosive GARCH models ⋮ A Bayesian regime-switching time-series model ⋮ Mortality Regimes and Pricing ⋮ Divergent Perpetuities Modulated by Regime Switches ⋮ A Markov regime-switching model for crude-oil markets: Comparison of composite likelihood and full likelihood ⋮ Weak identification in the ESTAR model and a new model ⋮ REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK ⋮ Testing for intercept-scale switch in linear autoregression ⋮ AN EXCLUSIVE REGRESSORS BINARY MIXTURE MODEL WITH AN APPLICATION TO LABOUR SUPPLY ⋮ STOCHASTIC UNIT ROOT MODELS ⋮ Portfolio selection with imperfect information: A hidden Markov model ⋮ Joint Determination of the State Dimension and Autoregressive Order for Models with Markov Regime Switching ⋮ A moment approach to bounding exotic options under regime switching ⋮ Unstable volatility: the break-preserving local linear estimator ⋮ Optimal stopping of Markov switching Lévy processes ⋮ Convergence rates of the numerical methods for the delayed PDEs from option pricing under regime switching hard-to-borrow models ⋮ Efficient finite difference method for optimal portfolio in a power utility regime-switching model ⋮ An IMEX predictor–corrector method for pricing options under regime-switching jump-diffusion models ⋮ Sparseness, consistency and model selection for Markov regime-switching Gaussian autoregressive models ⋮ Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation ⋮ Bayesian Inference of Hidden Markov Models Using Dirichlet Mixtures ⋮ A lattice approach for option pricing under a regime-switching GARCH-jump model ⋮ VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS ⋮ Business cycle asymmetry and duration dependence: An international perspective ⋮ A theoretical analysis of trading rules: an application to the moving average case with Markovian returns ⋮ Exponential risk measure with application to UK asset allocation ⋮ Dealing with Markov-switching parameters in quantile regression models ⋮ Entropy inference in smooth transition kink regression ⋮ Dynamic asset–liability management in a Markov market with stochastic cash flows ⋮ Analytic value function for optimal regime-switching pairs trading rules ⋮ COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ The shifting dependence dynamics between the G7 stock markets ⋮ Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance ⋮ A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS ⋮ Testing for a Markov-Switching Mean in Serially Correlated Data ⋮ Nonlinear Time Series Models and Model Selection ⋮ Nonstationarities and Markov Switching Models ⋮ Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM ⋮ An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk ⋮ Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach ⋮ Hedging Costs for Variable Annuities Under Regime-Switching ⋮ A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing ⋮ Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility ⋮ AN IMPROVED GENERALIZED SPECTRAL TEST FOR CONDITIONAL MEAN MODELS IN TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY OF UNKNOWN FORM ⋮ Structural Clustering of Volatility Regimes for Dynamic Trading Strategies ⋮ LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK ⋮ VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK ⋮ Spectral representation and autocovariance structure of Markov switching DSGE models ⋮ The pricing of defaultable bonds under a regime-switching jump-diffusion model with stochastic default barrier ⋮ Pricing and hedging equity-indexed annuities via local risk-minimization ⋮ Empirical analysis of SH50ETF and SH50ETF option prices under regime-switching jump-diffusion models ⋮ A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures ⋮ A new method of valuing American options based on Brownian models ⋮ A generalized Esscher transform for option valuation with regime switching risk ⋮ Unraveling S&P500 stock volatility and networks – an encoding-and-decoding approach ⋮ On multinomial hidden Markov model for hierarchical manpower systems ⋮ A Survey of Sequential Monte Carlo Methods for Economics and Finance ⋮ Statistical Surveillance. Optimality and Methods ⋮ Mortality regimes and longevity risk in a life annuity portfolio ⋮ A dynamic programming approach to the estimation of markov switching regression models ⋮ STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS ⋮ Predictability of Marine Population Trajectories–the effect of delays and resource availability ⋮ Markov regime switching in mean and in fractional integration parameter ⋮ PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES ⋮ Effects of Regime Switching on Pricing Credit Options in a Shifted CIR Model ⋮ A duscrete-time model of high-frequency stock returns ⋮ Statistical analysis of financial time series under the assumption of local stationarity ⋮ A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models ⋮ FORECASTING INFLATION USING DYNAMIC MODEL AVERAGING* ⋮ Variance swaps under the threshold Ornstein–Uhlenbeck model ⋮ Unnamed Item ⋮ On Markov-switching periodicARMAmodels ⋮ Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates ⋮ Testing for Volatility Co-Movement in Bivariate Stochastic Volatility Models ⋮ Option pricing under regime switching ⋮ ATTAINABLE CONTINGENT CLAIMS IN A MARKOVIAN REGIME-SWITCHING MARKET ⋮ Unnamed Item ⋮ Quantile Hedging for Guaranteed Minimum Death Benefits with Regime Switching ⋮ Long-term strategic asset allocation with inflation risk and regime switching ⋮ Probabilistic Properties of a Nonlinear ARMA Process with Markov Switching ⋮ Unnamed Item ⋮ Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas ⋮ A semi-martingale representation for a semi-Markov chain with application to finance ⋮ Empirical Performance and Asset Pricing in Hidden Markov Models ⋮ A time varying hidden Markov model with latent information ⋮ Linear diffusion with stationary switching regime ⋮ Time-Consistent Mean-Variance Pairs-Trading Under Regime-Switching Cointegration ⋮ Bayesian Risk Management for Equity-Linked Insurance ⋮ Third and fourth moments of vector autoregressions with regime switching ⋮ Explicit Computations for Some Markov Modulated Counting Processes ⋮ A radial basis function artificial neural network test for neglected nonlinearity ⋮ Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model ⋮ Hotelling's T <sup>2</sup> Method in Multivariate On-Line Surveillance: On the Delay of an Alarm ⋮ Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing ⋮ STOCHASTIC PERTURBATIONS OF POSITION DEPENDENT RANDOM MAPS ⋮ On Joint Determination of the Number of States and the Number of Variables in Markov-Switching Models: A Monte Carlo Study ⋮ Pricing and hedging performance on pegged FX markets based on a regime switching model ⋮ Statistical modelling of asymmetric risk in asset returns ⋮ Smart Indexing Under Regime-Switching Economic States ⋮ Bootstrap-based evaluation of markov-switching time series models ⋮ Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models ⋮ Pricing credit-risky bonds and spread options modelling credit-spread term structures with two-dimensional Markov-modulated jump-diffusion ⋮ A numerical filtering method for linear state‐space models with Markov switching ⋮ OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL ⋮ Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator ⋮ Jumps and oil futures volatility forecasting: a new insight ⋮ Portfolios Optimization Under Regime Switching Model: Evidences in the American Bonds and Other Financial Assets ⋮ Validation Of Long-Term Equity return Models For Equity-Linked Guarantees ⋮ ON COMPLEX ECONOMIC SCENARIO GENERATORS: IS LESS MORE? ⋮ Estimation of Distress Costs Associated with Downgrades Using Regimeswitching Models ⋮ An automated financial indices-processing scheme for classifying market liquidity regimes ⋮ Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach ⋮ 50 Years of international journal of systems science: a review of the past and trends for the future ⋮ Pricing Annuity Guarantees Under a Regime-Switching Model ⋮ Time-Varying Risk Aversion and Dynamic Portfolio Allocation ⋮ What does Google say about credit developments in Brazil? ⋮ Asymmetries in the monetary policy reaction function: evidence from India ⋮ Instability in regime switching models ⋮ Error analysis of finite difference scheme for American option pricing under regime-switching with jumps ⋮ Ensemble Economic Scenario Generators: Unity Makes Strength ⋮ Bayesian nonparametric portfolio selection with rolling maximum drawdown control ⋮ Intermittent delay stabilization of complex-valued stochastic complex network ⋮ A gentle tutorial on accelerated parameter and confidence interval estimation for hidden Markov models using Template Model Builder ⋮ Optimal divestment time in supply chain redesign under oligopoly: evidence from shale oil production plants ⋮ First-order binomial autoregressive processes with Markov-switching coefficients ⋮ Predictive Inference Based on Markov Chain Monte Carlo Output ⋮ LEARNING ABOUT REGIME CHANGE ⋮ The origins and effects of macroeconomic uncertainty ⋮ Spline‐based nonparametric inference in general state‐switching models ⋮ Evaluating forecast performance with state dependence ⋮ Dynamic clustering of multivariate panel data ⋮ Partially hidden Markov chain multivariate linear autoregressive model: inference and forecasting -- application to machine health prognostics ⋮ Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables ⋮ Bayesian analysis of first-order Markov models for autocorrelated binary responses ⋮ Robust mixture regression modeling based on two-piece scale mixtures of normal distributions ⋮ A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model ⋮ Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach ⋮ An efficient algorithm for pricing reinsurance contract under the regime-switching model ⋮ Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Inference of binary regime models with jump discontinuities ⋮ Optimal stock portfolio selection with a multivariate hidden Markov model ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ Dynamic monitoring of financial security risks: a novel China financial risk index and an early warning system ⋮ Trend and cycle decomposition of Markov switching (co)integrated time series ⋮ Disentangling the nonlinearity effect in cryptocurrency markets during the Covid-19 pandemic: evidence from a regime-switching approach ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ Regime switching models for circular and linear time series ⋮ Stochastic billiards with Markovian reflections in generalized parabolic domains ⋮ Impulse response function analysis for Markov switching VAR models ⋮ Valuing equity-linked guaranteed minimum death benefits with \textit{European}-style \textit{Asian} payoffs under a regime switching jump-diffusion model ⋮ A doubly Markov switching \textit{AR} model: some probabilistic properties and strong consistency ⋮ Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods ⋮ Getting the ROC into Sync ⋮ Valuation and optimal strategies for American options under a Markovian regime-switching model ⋮ Linear approximation of the threshold autoregressive model: an application to order estimation ⋮ Pricing and hedging for correlation options with regime switching and common jump risk ⋮ On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ On an independent-switching periodic autoregressive conditional duration ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities ⋮ Numerical approach for coupled systems resulting from pricing of derivatives: Modeling and pricing of installment options ⋮ Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends ⋮ Identification-Robust Inference With Simulation-Based Pseudo-Matching ⋮ Bellman filtering and smoothing for state-space models ⋮ Does the survey of professional forecasters help predict the shape of recessions in real time? ⋮ Bayesian prediction of jumps in large panels of time series data ⋮ Unnamed Item ⋮ On square-integrability of an AR process with Markov switching ⋮ Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities ⋮ Closed-form likelihood function of Markov-switching models. ⋮ Stationarity of multivariate Markov-switching ARMA models ⋮ Long memory and regime switching ⋮ U. S. and Canadian industrial production indices as coupled oscillators ⋮ A generalized Goodwin business cycle model in random environment ⋮ A high order finite element scheme for pricing options under regime switching jump diffusion processes ⋮ Bayesian semiparametric modeling of realized covariance matrices ⋮ Wind energy: forecasting challenges for its operational management ⋮ Tail of a linear diffusion with Markov switching ⋮ Comments on: ``Latent Markov models: a review of a general framework for the analysis of longitudinal data with covariates ⋮ State space Markov switching models using wavelets ⋮ A Markov Switching Model with Stochastic Regimes with Application to Business Cycle Analysis ⋮ Normalization in Econometrics ⋮ Pricing barrier options by a regime switching model ⋮ Unnamed Item ⋮ Finite-sample properties of the bootstrap estimator in a Markov-switching model ⋮ Consistent GMM Residuals-Based Tests of Functional Form ⋮ Consistent estimation of the number of regimes in Markov-switching autoregressive models ⋮ REGIME-SWITCHED VOLATILITY OF BRENT CRUDE OIL FUTURES WITH MARKOV-SWITCHING ARCH MODEL ⋮ MCMC for Markov-switching models—Gibbs sampling vs. marginalized likelihood ⋮ First-order integer-valued autoregressive process with Markov-switching coefficients ⋮ Dynamic programming for semi-Markov modulated SDEs ⋮ Stationarity and ergodicity of Markov switching positive conditional mean models ⋮ Time‐Varying Transition Probabilities for Markov Regime Switching Models ⋮ Robust particle filter formulations with application to terrain‐aided navigation ⋮ INFERENCE ON TWO-COMPONENT MIXTURES UNDER TAIL RESTRICTIONS ⋮ Identification-robust moment-based tests for Markov switching in autoregressive models ⋮ On the Bailout Dividend Problem for Spectrally Negative Markov Additive Models ⋮ A segmented generalized Markov regime-switching model with its application in financial time series data ⋮ Equilibrium strategies for time-inconsistent stochastic switching systems ⋮ DIFFUSION LIMITS FOR A MARKOV MODULATED BINOMIAL COUNTING PROCESS ⋮ HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS ⋮ Eliminating the omitted variable bias by a regime-switching approach ⋮ Parameter changes in GARCH model ⋮ A multivariate descriptor method for change-point detection in nonlinear time series ⋮ A segmented regime-switching model with its application to stock market indices ⋮ Mixtures of autoregressive-autoregressive conditionally heteroscedastic models: semi-parametric approach ⋮ Signaling NBER turning points: a sequential approach ⋮ A dynamic analysis of stock markets using a hidden Markov model ⋮ Forecasting before, during, and after recession with singular spectrum analysis ⋮ Granger-causality in Markov switching models ⋮ Option Pricing with Threshold Diffusion Processes ⋮ An Empirical Investigation of CDS Spreads Using a Regime-Switching Default Risk Model ⋮ Partial Hedging for Equity-Linked Products Using Risk-Minimizing Strategies ⋮ MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS ⋮ Limit theorems for a random walk with memory perturbed by a dynamical system ⋮ Adding flexibility to Markov Switching models ⋮ Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities ⋮ Bayesian modeling of financial returns: A relationship between volatility and trading volume ⋮ Optimal Impulse Control for Growth-Restricted Linear Diffusions with Regime Switching ⋮ Quantifying the uncertainty in change points ⋮ A Family of Markov‐Switching Garch Processes ⋮ Consistency of maximum likelihood estimators for the regime-switching GARCH model ⋮ A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK ⋮ Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use ⋮ A Regime-Switching Model of Long-Term Stock Returns ⋮ ADAPTIVE LEARNING IN REGIME-SWITCHING MODELS ⋮ Optimal consumption and portfolio under inflation and Markovian switching ⋮ Dynamic Bayesian Ratemaking: A Markov Chain Approximation Approach ⋮ Asset allocation under threshold autoregressive models ⋮ An approach for identifying and predicting economic recessions in real‐time using time–frequency functional models ⋮ Handling the Label Switching Problem in Latent Class Models Via the ECR Algorithm ⋮ OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR ⋮ Inference and Model Choice for Sequentially Ordered Hidden Markov Models ⋮ Pricing and Hedging Variable Annuity Guarantees with Multiasset Stochastic Investment Models ⋮ Polynomial Approximation to Option Prices under Regime Switching ⋮ EMU equity markets' return variance and spillover effects from the short-term interest rate ⋮ Value-at-risk in a market subject to regime switching ⋮ INVESTMENT TIMING UNDER REGIME SWITCHING ⋮ Unnamed Item ⋮ Statistical Method for Detecting Structural Change in the Growth Process ⋮ Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices ⋮ THE LABOUR MARKET AND TECHNICAL CHANGE IN ENDOGENOUS CYCLES ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ Extreme downside risk and market turbulence ⋮ On an optimal extraction problem with regime switching ⋮ Bayesian multivariate regime-switching models and the impact of correlation structure misspecification in variable annuity pricing ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ A conditionally heteroskedastic binary choice model for macro-financial time series ⋮ Quasi-hidden Markov model and its applications in change-point problems ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Unnamed Item ⋮ OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING ⋮ A self-exciting switching jump diffusion: properties, calibration and hitting time ⋮ Risk parity portfolio optimization under a Markov regime-switching framework ⋮ On pricing barrier control in a regime-switching regulated market ⋮ On the seasonality in the implied volatility of electricity options ⋮ Forecasting market states ⋮ Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions ⋮ ON THE ECONOMIC IMPACT OF MODELING NONLINEARITIES: THE ASSET PRICING EXAMPLE ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING ⋮ An intensity model for credit risk with switching Lévy processes ⋮ Commodity markets through the business cycle ⋮ Valuing the Guaranteed Minimum Death Benefit Clause with Partial Withdrawals ⋮ Optimal Singular Control Problem in Infinite Horizon for Stochastic Processes with Regime-Switching ⋮ Near-optimal control problems for forward-backward regime-switching systems ⋮ Uncovering the dynamics of correlation structures relative to the collective market motion ⋮ A mathematical model for volatility flocking with a regime switching mechanism in a stock market ⋮ Estimating a Banking-Macro Model Using a Multi-regime VAR ⋮ Revisiting the transitional dynamics of business cycle phases with mixed-frequency data ⋮ Likelihood inference for dynamic linear models with Markov switching parameters: on the efficiency of the Kim filter ⋮ Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model ⋮ Dynamic Latent Class Model Averaging for Online Prediction