This article proposes an empirical representation of the in‡ation expectations in an Unobserved Components model with Markov-Switching regimes. This State-Space representation aims to answer two questions. Are the expectation errors consistent with the weak form of the Rational Expectations Hypothesis? If this is not the case for certain periods, are the di¤erent schemes of expectation associat...

This paper describes an empirical comparison of four specifications of the exponential family of random graph models (ERGM), distinguished by model specification (dyadic independence, Markov, partial conditional dependence) and, for the Markov model, by estimation method (Maximum Pseudolikelihood, Maximum Likelihood). This was done by reanalyzing 102 student networks in 57 junior high school cl...

This paper discusses the existence of spurious long memory in common nonlinear time series models, namely Markov switching and threshold models. We describe the asymptotic behavior of the process in terms of autocovariance and autocorrelation function and support the theoretical evidences by providing Monte Carlo simulation. The existence of long memory in these nonlinear processes is induced b...

We discuss the data available for the TSE 300 and S&P 500 total return indexes. We consider a number of models, including the Wilkie model and regime switching models. We discuss calibration by maximum likelihood and by Markov chain Monte Carlo for the regime switching lognormal model. We then show how to use this model to price and hedge simple segregated fund maturity guarantees. keywords: Re...

We have introduced an early warning system for volatility regimes regarding Tehran Stock Exchange using Markov Switching GARCH approach. We have examined whether Tehran Stock Market has calmed down or more specifically, whether the surge in volatility during 2007-2010 global financial crises still affects stock return volatility in Iran.  Doing so, we have used a regime switching GARCH model.  ...

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 ...

In this study, two-state Markov switching count data models are proposed as an alternative to zero-inflated models, in order to account for preponderance of zeros typically observed in accident frequency data. Similar to zero-inflated models, two-state Markov switching models assume an existence of two states of roadway safety. One of the states is a zero-accident state, which is safe. The othe...

This paper presents a regime-switching model of the yield curve with two states. One is a normal state, the other is a zero-bound state that represents the case when the monetary policy target rate is at its zero lower bound for a prolonged period. The model delivers estimates of the time-varying probability of exiting the zero-bound state, and it outperforms standard threeand four-factor term ...