Conditional Markov regime switching model applied to economic modelling
نویسندگان
چکیده
منابع مشابه
Conditional Markov regime switching model applied to economic modelling
In this paper we discuss the calibration issues of regime switching models built on mean-reverting and local volatility processes combined with two Markov regime switching processes. In fact, the volatility structure of this model depends on a first exogenous Markov chain whereas the drift structure depends on a conditional Markov chain with respect to the first one. The structure is also assum...
متن کاملContinuous Time Regime Switching Model Applied to Foreign Exchange Rate
Continuous time modified Cox-Ingersoll-Ross (1985) stochastic model is employed, combining with Hamilton (1989) type Markov regime switching framework, to study daily foreign exchange rates, where all parameter values depend on the value of a continuous time Markov chain. The Expectation-Maximization algorithm is extended, generalized, applied to a more general class of regime switching models ...
متن کاملMarkov Regime Switching Stochastic Volatility
This is a project on modeling time-varying volatility of S&P 500 weely return for the years 1990 to 2012 using Bayesian methods. First, MCMC on the log-stochastic volatility (SV) model is implemented with simulation results analyzed. Second, I generalize the SV model to encompass regime-switching properties with the markov switching log-stochastic volatility (MSSV) model, under which, high-vola...
متن کاملAutocovariance Structure of Markov Regime Switching Models and Model Selection
We show that the covariance function of a second-order stationary vector Markov regime switching time series has a vector ARMA(p; q) representation, where upper bounds for p and q are elementary functions of the number of regimes. These bounds apply to vector Markov regime switching processes with both mean-variance and autoregressive switching. This result yields an easily computed method for ...
متن کاملBayesian Markov Regime-Switching Models for Cointegration
This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeling cointegration, the Bayesian Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable estima...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Economic Modelling
سال: 2014
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2013.12.007