We propose a Markov model with an ergodic two-component switching mechanism that dynamically generates anomalous diffusion. The first component plays the role of a hidden parameter. The second one is the switching component generating the superdiffusion of a random walker and is itself non-Markovian. The model is studied numerically using the Monte Carlo technique. PACS numbers: 05.40.Fb, 02.50...

In this paper, we empirically investigate the relationship between oil price changes and output in a group of oil exporting countries. The dynamics of business cycles in Libya, Saudi Arabia, Nigeria, Kuwait, Venezuela and Qatar are modeled by alternative regime switching models. We show that the extension of uni-variate Markov Switching model in order to include oil revenue improves dating busi...