Hidden Markov models have been applied in many different fields, including econometrics and finance. However, the lion's share of the investigated models concerns Markovian mixtures of Gaussian distributions. We present an extension to conditional t-distributions, including models with unequal...

In this paper, we aim at assessing Markov-switching and threshold models in their ability to identify turning points of economic cycles. By using vintage data that are updated on a monthly basis, we compare their ability to detect ex-post the occurrence of turning points of the classical...

This article presents the analysis of the contagion effect in the capital markets on the basis of the Markov switching models MS. The research is based on the return of the indexes. There is a distinction of two regimes with different volatility levels, the calm period and the crisis period....

In this paper, we aim at assessing Markov-switching and threshold models in their ability to identify turning points of economic cycles. By using vintage data that are updated on a monthly basis, we compare their ability to detect ex-post the occurrence of turning points of the classical...