Are structural breaks models true switching models or long memory processes? The answer to this question remain ambiguous. A lot of papers, in recent years, have dealt with this problem. For instance, Diebold and Inoue (2001) and Granger and Hyung (2004) show, under speci c conditions, that switching models and long memory processes can be easily confused. In this paper, using several generatin...

Does the probability of moving from a recession into an expansion depend on how long the economy has been in recession? Similarly, does the probability that the economy may fall into a recession depend on the length of the expansion phase? The present paper tries to answer these two questions, at least as far as the U.S. economy is concerned. Some authors have already dealt with the duration-de...

Financial markets have an important role in the economy of a country including Indonesia. One activities chosen by investors financial market is investing. In world investment, especially stocks, there phenomenon volatility, which situation where stock price value increases and decreases. Volatility this something that very interesting for because its impact on existence global markets. The pur...

The time-series dynamics of short-term interest rates are important as they are a key input into pricing models of the term structure of interest rates. In this paper we extend popular discrete time short-rate models to include Markov switching of infinite dimension. This is a Bayesian nonparametric model that allows for changes in the unknown conditional distribution over time. Applied to week...

In the present paper we apply the Gibbs Sampling approach to estimate the parameters of a Markov Switching Model which we use to model financial time series. In particular, we estimate the standard deviation of the time series in order to obtain an indicator similar to the VIX index. The Markov Switching technique has been chosen because of the presence of exogenous factors which can have a lar...