Advances In Markov Switching Models

Author : James D. Hamilton,Baldev Raj
Publisher : Springer Science & Business Media
Page : 267 pages
File Size : 45,5 Mb
Release : 2013-06-29
Category : Business & Economics
ISBN : 9783642511820

Get Book

Advances in Markov-Switching Models by James D. Hamilton,Baldev Raj Pdf

This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.

Author : Sylvia Frühwirth-Schnatter
Publisher : Springer Science & Business Media
Page : 506 pages
File Size : 51,8 Mb
Release : 2006-11-24
Category : Mathematics
ISBN : 9780387357683

Get Book

Finite Mixture and Markov Switching Models by Sylvia Frühwirth-Schnatter Pdf

The past decade has seen powerful new computational tools for modeling which combine a Bayesian approach with recent Monte simulation techniques based on Markov chains. This book is the first to offer a systematic presentation of the Bayesian perspective of finite mixture modelling. The book is designed to show finite mixture and Markov switching models are formulated, what structures they imply on the data, their potential uses, and how they are estimated. Presenting its concepts informally without sacrificing mathematical correctness, it will serve a wide readership including statisticians as well as biologists, economists, engineers, financial and market researchers.

Author : Steven Durlauf,L. Blume
Publisher : Springer
Page : 417 pages
File Size : 46,5 Mb
Release : 2016-04-30
Category : Business & Economics
ISBN : 9780230280830

Get Book

Macroeconometrics and Time Series Analysis by Steven Durlauf,L. Blume Pdf

Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.

Author : Chang-Jin Kim,Charles R. Nelson
Publisher : Mit Press
Page : 297 pages
File Size : 45,9 Mb
Release : 1999
Category : Business & Economics
ISBN : 0262112388

Get Book

State-space Models with Regime Switching by Chang-Jin Kim,Charles R. Nelson Pdf

Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data.The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.

Author : Greg N. Gregoriou,Razvan Pascalau
Publisher : Springer
Page : 196 pages
File Size : 49,5 Mb
Release : 2010-12-08
Category : Business & Economics
ISBN : 9780230295216

Get Book

Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration by Greg N. Gregoriou,Razvan Pascalau Pdf

This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.

Author : Jeff Gable,Simon Van Norden,Robert Vigfusson
Publisher : Unknown
Page : 24 pages
File Size : 46,7 Mb
Release : 1995
Category : Markov processes
ISBN : 0662236858

Get Book

Analytical Derivatives for Markov Switching Models by Jeff Gable,Simon Van Norden,Robert Vigfusson Pdf

Author : Faming Liang,Chuanhai Liu,Raymond Carroll
Publisher : John Wiley & Sons
Page : 308 pages
File Size : 41,6 Mb
Release : 2011-07-05
Category : Mathematics
ISBN : 9781119956808

Get Book

Advanced Markov Chain Monte Carlo Methods by Faming Liang,Chuanhai Liu,Raymond Carroll Pdf

Markov Chain Monte Carlo (MCMC) methods are now an indispensable tool in scientific computing. This book discusses recent developments of MCMC methods with an emphasis on those making use of past sample information during simulations. The application examples are drawn from diverse fields such as bioinformatics, machine learning, social science, combinatorial optimization, and computational physics. Key Features: Expanded coverage of the stochastic approximation Monte Carlo and dynamic weighting algorithms that are essentially immune to local trap problems. A detailed discussion of the Monte Carlo Metropolis-Hastings algorithm that can be used for sampling from distributions with intractable normalizing constants. Up-to-date accounts of recent developments of the Gibbs sampler. Comprehensive overviews of the population-based MCMC algorithms and the MCMC algorithms with adaptive proposals. This book can be used as a textbook or a reference book for a one-semester graduate course in statistics, computational biology, engineering, and computer sciences. Applied or theoretical researchers will also find this book beneficial.

Author : Wei-Chiang Hong
Publisher : MDPI
Page : 262 pages
File Size : 54,8 Mb
Release : 2020-04-01
Category : Computers
ISBN : 9783039283644

Get Book

Intelligent Optimization Modelling in Energy Forecasting by Wei-Chiang Hong Pdf

Accurate energy forecasting is important to facilitate the decision-making process in order to achieve higher efficiency and reliability in power system operation and security, economic energy use, contingency scheduling, the planning and maintenance of energy supply systems, and so on. In recent decades, many energy forecasting models have been continuously proposed to improve forecasting accuracy, including traditional statistical models (e.g., ARIMA, SARIMA, ARMAX, multi-variate regression, exponential smoothing models, Kalman filtering, Bayesian estimation models, etc.) and artificial intelligence models (e.g., artificial neural networks (ANNs), knowledge-based expert systems, evolutionary computation models, support vector regression, etc.). Recently, due to the great development of optimization modeling methods (e.g., quadratic programming method, differential empirical mode method, evolutionary algorithms, meta-heuristic algorithms, etc.) and intelligent computing mechanisms (e.g., quantum computing, chaotic mapping, cloud mapping, seasonal mechanism, etc.), many novel hybrid models or models combined with the above-mentioned intelligent-optimization-based models have also been proposed to achieve satisfactory forecasting accuracy levels. It is important to explore the tendency and development of intelligent-optimization-based modeling methodologies and to enrich their practical performances, particularly for marine renewable energy forecasting.

Author : Laurent E. Calvet,Adlai J. Fisher
Publisher : Academic Press
Page : 272 pages
File Size : 55,9 Mb
Release : 2008-10-13
Category : Business & Economics
ISBN : 0080559964

Get Book

Multifractal Volatility by Laurent E. Calvet,Adlai J. Fisher Pdf

Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research

Author : Hans-Martin Krolzig
Publisher : Springer Science & Business Media
Page : 357 pages
File Size : 45,7 Mb
Release : 2013-06-29
Category : Business & Economics
ISBN : 9783642516849

Get Book

Markov-Switching Vector Autoregressions by Hans-Martin Krolzig Pdf

This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.

Author : Chang-Jin Kim,Charles R. Nelson
Publisher : MIT Press
Page : 312 pages
File Size : 52,5 Mb
Release : 2017-11-03
Category : Business & Economics
ISBN : 9780262535502

Get Book

State-Space Models with Regime Switching by Chang-Jin Kim,Charles R. Nelson Pdf

Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data. The authors present numerous applications of these approaches in detail: decomposition of time series into trend and cycle, a new index of coincident economic indicators, approaches to modeling monetary policy uncertainty, Friedman's "plucking" model of recessions, the detection of turning points in the business cycle and the question of whether booms and recessions are duration-dependent, state-space models with heteroskedastic disturbances, fads and crashes in financial markets, long-run real exchange rates, and mean reversion in asset returns.

Author : Walter Zucchini,Iain L. MacDonald,Roland Langrock
Publisher : CRC Press
Page : 370 pages
File Size : 50,6 Mb
Release : 2017-12-19
Category : Mathematics
ISBN : 9781482253849

Get Book

Hidden Markov Models for Time Series by Walter Zucchini,Iain L. MacDonald,Roland Langrock Pdf

Hidden Markov Models for Time Series: An Introduction Using R, Second Edition illustrates the great flexibility of hidden Markov models (HMMs) as general-purpose models for time series data. The book provides a broad understanding of the models and their uses. After presenting the basic model formulation, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference for HMMs. Through examples and applications, the authors describe how to extend and generalize the basic model so that it can be applied in a rich variety of situations. The book demonstrates how HMMs can be applied to a wide range of types of time series: continuous-valued, circular, multivariate, binary, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out the computations. Features Presents an accessible overview of HMMs Explores a variety of applications in ecology, finance, epidemiology, climatology, and sociology Includes numerous theoretical and programming exercises Provides most of the analysed data sets online New to the second edition A total of five chapters on extensions, including HMMs for longitudinal data, hidden semi-Markov models and models with continuous-valued state process New case studies on animal movement, rainfall occurrence and capture-recapture data

Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
Page : 465 pages
File Size : 46,7 Mb
Release : 2021-02-17
Category : Business & Economics
ISBN : 9783030541088

Get Book

Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics by Burcu Adıgüzel Mercangöz Pdf

This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Author : Silvia Chiappa
Publisher : Unknown
Page : 83 pages
File Size : 46,7 Mb
Release : 2014
Category : Markov processes
ISBN : 1601988311

Get Book

Explicit-duration Markov Switching Models by Silvia Chiappa Pdf

Markov switching models (MSMs) are probabilistic models that employ multiple sets of parameters to describe different dynamic regimes that a time series may exhibit at different periods of time. The switching mechanism between regimes is controlled by unobserved random variables that form a first-order Markov chain. Explicit-duration MSMs contain additional variables that explicitly model the distribution of time spent in each regime. This allows to define duration distributions of any form, but also to impose complex dependence between the observations and to reset the dynamics to initial conditions. Models that focus on the first two properties are most commonly known as hidden semi-Markov models or segment models, whilst models that focus on the third property are most commonly known as changepoint models or reset models. In this monograph, we provide a description of explicit-duration modelling by categorizing the different approaches into three groups, which differ in encoding in the explicit-duration variables different information about regime change/reset boundaries. The approaches are described using the formalism of graphical models, which allows to graphically represent and assess statistical dependence and therefore to easily describe the structure of complex models and derive inference routines. The presentation is intended to be pedagogical, focusing on providing a characterization of the three groups in terms of model structure constraints and inference properties. The monograph is supplemented with a software package that contains most of the models and examples described. The material presented should be useful to both researchers wishing to learn about these models and researchers wishing to develop them further.

Author : Cheng-Few Lee,Min-Teh Yu
Publisher : Emerald Group Publishing
Page : 188 pages
File Size : 46,7 Mb
Release : 2020-09-09
Category : Business & Economics
ISBN : 9781838673659

Get Book

Advances in Pacific Basin Business, Economics and Finance by Cheng-Few Lee,Min-Teh Yu Pdf

Advances in Pacific Basin Business, Economics, and Finance is an annual publication designed to focus on interdisciplinary research in finance, economics, accounting and management among Pacific Rim countries.