The Bolivian inflation process is analyzed utilizing a time-varying univariate and multivariate Markov-switching model (TMS). With monthly data and, beginning in the late 1930s, accurately described by TMS. intercept for high-inflation regime significantly higher than low-inflation actual rate mirrors smoothing probabilities of Markov process. Additionally, predicted duration each closely fits ...

Following Hamilton (1989), estimation of Markov regime-switching regressions typically relies on the assumption that the latent state variable controlling regime change is exogenous. We relax this assumption and develop a parsimonious model of endogenous Markov regime-switching. Inference via maximum likelihood estimation is possible with relatively minor modifications to existing recursive fil...

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...

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...