State‐space modeling clarifies productivity regime shifts of Japanese flying squid

Stochastic modeling of regime shifts

Probabilistic methods for modeling the distribution of regimes and their shifts over time are developed by drawing on statistical decision and limit theory of random sums. Multi-annual episodes of opposite sign are graphically and numerically represented by their duration, magnitude, and intensity. Duration is defined as the number of consecutive years above or below a reference line, magnitude...

Frequency and intensity of productivity regime shifts in marine fish stocks.

Fish stocks fluctuate both in abundance and productivity (net population increase), and there are many examples demonstrating that productivity increased or decreased due to changes in abundance caused by fishing and, alternatively, where productivity shifted between low and high regimes, entirely unrelated to abundance. Although shifts in productivity regimes have been described, their frequen...

Regime Shifts and Volatility Spillovers

A standard capital asset pricing model is extended to allow for stochastic shifts in the volatility of the news process. This model is then estimated on bivariate stock market data to separate two exogenous news processes – a world and a domestic. The results indicate that the influence of the world news process on the Swedish stock market has increased significantly over the period 1970-1995. ...

Macroeconomic Regimes and Regime Shifts

Red noise and regime shifts

The analysis of interdecadal physical and biological variability is made challenging by the relative shortness of available time series. It has been suggested that rapid temporal changes of the most energetic empirical orthogonal function of North Pacific sea surface temperature (sometimes called the Pacific Decadal Oscillation or PDO) represents a ‘‘regime shift’’ between states with otherwise...