Markov-switching models with applications in macroeconomics and finance
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Publication:5248181
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(36)- Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
- Model averaging in Markov-switching models: predicting national recessions with regional data
- Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
- Misspecified structural change, threshold, and Markov-switching models.
- Exploring the dynamics of business survey data using Markov models
- Identification of business cycles and the Great Moderation in the post-war U.S. economy
- Speculative bubbles in present-value models: a Bayesian Markov-switching state space approach
- Determinacy and classification of Markov-switching rational expectations models
- Mixed-frequency VAR models with Markov-switching dynamics
- Analysing yield spread and output dynamics in an endogenous Markov switching regression framework
- Structural estimation of jump-diffusion processes in macroeconomics
- Time-series model with periodic stochastic regime switching
- A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors
- Markov switching models for time series data with dramatic jumps
- Methods for inference in large multiple-equation Markov-switching models
- Temporal aggregation of Markov-switching financial return models
- Markov switching models in empirical finance
- Markov switching in portfolio choice and asset pricing models: a survey
- scientific article; zbMATH DE number 3860832 (Why is no real title available?)
- A Check on the Robustness of Hamilton's Markov Switching Model Approach to the Economic Analysis of the Business Cycle
- What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study
- scientific article; zbMATH DE number 5726492 (Why is no real title available?)
- An Introduction to Regime Switching Time Series Models
- STATISTICAL ANALYSIS OF ECONOMIC TIME SERIES VIA MARKOV SWITCHING MODELS
- Perturbation methods for Markov-switching dynamic stochastic general equilibrium models
- Explicit-duration Markov switching models
- Granger-causality in Markov switching models
- Moments of Markov-switching models
- A Markov switching model with stochastic regimes with application to business cycle analysis
- Applications of regime-switching models based on aggregation operators
- Estimation of heuristic switching in behavioral macroeconomic models
- Why Markov switching models work well: an explanation
- Guest Editors’ Introduction: Regime Switching and Threshold Models
- A self-tuning model for inflation rate dynamics
- Methods for measuring expectations and uncertainty in Markov-switching models
- Markov-switching stochastic trends and economic fluctuations
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