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~institution:"Erasmus University Rotterdam, Econometric Institute"
~institution:"HAL"
~institution:"Society for Economic Dynamics - SED"
~subject:"Markov switching model"
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Markov switching model
Markov chain Monte Carlo
11
Markov chain
9
Bayesian inference
6
Markov perfect equilibrium
6
switching regimes
6
American option
5
CIR process
5
Markov modulated dynamics
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importance sampling
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liquidity regime
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loan prepayment
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mortgage option
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neural networks
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option pricing
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prepayment option
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Regime switching
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perpetual option
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Commitment
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Dynamic correlations
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Markov Chain Monte Carlo
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Markov decision processes
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Markov switching
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Multivariate GARCH
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Shapley value
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Snell envelope
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Time-consistency
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coalition formation process
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coalitional game
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exchange economy
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Carbon
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Contagion
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Copulas
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EUA
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Gibbs sampler
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Hidden Markov models
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Hierarchical Hidden Markov models
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Kalman filter
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Markov Equilibrium
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Billio, Monica
1
Ferrara, Laurent
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Gagné, Robert
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Guegan, Dominique
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Mazzi, Gian Luigi
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Norden, Simon Van
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Erasmus University Rotterdam, Econometric Institute
HAL
Society for Economic Dynamics - SED
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
7
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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EconWPA
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Eesti Pank
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Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover
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Bank of Greece
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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Departamento de Teoría e Historia Económica, Facultad de Ciencias Económicas y Empresariales
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Department of Economics, European University Institute
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Department of Economics, Faculty of Economic and Management Sciences
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Department of Economics, Leicester University
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Economic Research Southern Africa (ERSA)
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Faculteit Economie en Bedrijfskunde, Universiteit Gent
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Graduate School of Economics, Hitotsubashi University
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Groupe d'Analyse et de Théorie Économique Lyon St-Étienne (GATE Lyon St-Étienne), Faculté de Sciences Économiques et de Gestion
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Institut d'Économie Appliquée, HEC Montréal (École des Hautes Études Commerciales)
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Institut für Weltwirtschaft (IfW)
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IÉSEG School of Management, Université Catholique de Lille
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LeBow College of Business, Drexel University
1
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
1
Théorie Économique, Modélisation, Application (THEMA), Université de Cergy-Pontoise
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Zakład Ekonometrii Stosowanej, Szkoła Główna Handlowa w Warszawie
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Česká Národní Banka
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Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area
Billio, Monica
;
Ferrara, Laurent
;
Guegan, Dominique
; …
-
HAL
-
2009
In this paper, we aim at assessing
Markov
-switching and threshold models in their ability to identify turning points of …
Persistent link: https://www.econbiz.de/10010738487
Saved in:
2
Testing Optimal Punishment Mechanisms under Price Regulation: the Case of the Retail Market for Gasoline
Gagné, Robert
;
Norden, Simon Van
;
Versaevel, Bruno
-
HAL
-
2006
prediction. We use a
Markov
Switching Model with two latent states to simultaneously identify the periods of price …
Persistent link: https://www.econbiz.de/10008791767
Saved in:
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