Search Results - subject:"Markov Models"

Stock market returns and climate risk in the US

Chen, Yiyang; Mamon, Rogemar; Spagnolo, Fabio; … - 2025

Persistent link: https://www.econbiz.de/10015330166

Monte Carlo likelihood-ratio tests for Markov switching models

Rodriguez Rondon, Gabriel; Dufour, Jean-Marie - 2026 - Last updated: July 2, 2026

Markov switching models are widely used to capture nonlinearities arising from regime shifts. Most existing tests for the number of regimes focus on one versus two regimes. Even in such simple cases, this type of problem raises issues of non-standard asymptotic distributions, identification...

Persistent link: https://www.econbiz.de/10015670737

Decoding the stock market dynamics in the banking sector : short versus long-term insights

Čeryová, Barbara; Árendáš, Peter - 2025

Persistent link: https://www.econbiz.de/10015359871

Non-crossing vs. independent lead times in a lost-sales inventory system with compound Poisson demand

Johansen, Søren; Thorstenson, Anders - 2025

Persistent link: https://www.econbiz.de/10015433076

Low financial risk of default and productive use of assets through hidden Markov models

Haro, Alexander; Sandoval, Genaro; Rodríguez, María; … - 2025

This paper analyzes solvency dynamics in Ecuador's mutualist segment by modeling the joint behavior of the productive-assets-to-total-assets ratio (PATR) and portfolio-specific delinquency rates. Using monthly supervisory data from the Superintendencia de Economía Popular y Solidaria (SEPS) for...

Persistent link: https://www.econbiz.de/10015561465

Markov-switching decision trees

Adam, Timo; Ötting, Marius; Michels, Rouven - 2024

thereby bridges the gap between machine learning and statistics. In particular, we combine decision trees with hidden Markov … models where, for any time point, an underlying (hidden) Markov chain selects the tree that generates the corresponding …

Persistent link: https://www.econbiz.de/10015361273