We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric ergodicity and existence of moments of the process. Because of path dependence, maximum likelihood estimation is not feasible. By enlarging the parameter...

We investigate a continuous-time version of the mean-variance portfolio selection model with jumps under regime switching. The portfolio selection is proposed and analyzed for a market consisting of one bank account andmultiple stocks. The random regime switching is assumed to be independent of the underlying Brownian motion and jump processes. A Markov chain modulated diffusion formulation is ...

We consider the problem of investment and consumption with a hidden Markov model and a regime switching structure. The Bayesian approach is followed to integrate econometric consideration and to make inference of the hidden Markov model. The optimal investment strategy is characterized by the method of stochastic dynamic programming and simulation results are given.

Commodity price always related to the movement of stock market index. However real economic time series data always exhibit nonlinear properties such as structural change, jumps or break in the series through time. Therefore, linear time series models are no longer suitable and Markov Switching Vector Autoregressive models which able to study the asymmetry and regime switching behavior of the d...

Harding and Pagan note that their stripped-down Markov-switching model (3)-(5) is an example of a standard state-space model, albeit with non-Gaussian innovations. This is indeed true of a broad class of Markov-switching models, as noted by Hamilton (1994, Section 4.1). Hence one could always use the Kalman filter in Markov-switching models to find the linear projection of the unobserved regime...

In this paper we adopt an engineering method based on Al-Anaswah and Wilfling, state space model with Markov-switching, to capture the speculative bubbles of stock markets in China and US. We present the VAR log linear asset pricing model in state space model with Markov-switching, so that we can capture the unobservable speculative bubbles. Based on the dataset from Stock markets in China and ...

Logistic smooth transition and Markov switching autoregressive models of a logistic transform of the monthly US unemployment rate are estimated by Markov chain Monte Carlo methods. The Markov switching model is identified by constraining the first autoregression coefficient to differ across regimes. The transition variable in the LSTAR model is the lagged seasonal difference of the unemployment...

In this work, we propose a Hidden Markov Model for Internet traffic sources at packet level, jointly analyzing Inter Packet Time and Packet Size. We give an analytical basis and the mathematical details regarding the model, and we test the flexibility of the proposed modeling approach with real traffic traces related to common Internet services with strong differences in terms of both applicati...

The paper describes the EmPath tool that was designed to emulate packet transfer characteristics as delays and losses in IP network. The main innovation of this tool is its ability to emulate packet stream transfer while maintaining packet integrity, packet delay and loss distribution and correlation. In this method, we decide about the fate of new packet (delay and loss) by using the condition...

We investigate the stability problem for a nonlinear autoregressive model with Markov switching. First we give conditions for the existence and the uniqueness of a stationary ergodic solution. The existence of moments of such a solution is then examined and we establish a strong law of large numbers for a wide class of unbounded functions, as well as a central limit theorem under an irreducibil...