Search Results - subject:"Markov Switching Model"

Probabilistic forecasting of industrial electricity load with regime switching behavior

Berk, K.; Hoffmann, A.; Müller, A. - In: International journal of forecasting 34 (2018) 2, pp. 147-162

Persistent link: https://www.econbiz.de/10012030887

Cartel in the Indian cement industry: An attempt to identify it

Bejger, Sylwester - 2012

marker based on structural disturbances in a price process'; variance. Then, he applies a Markov switching model with …

Persistent link: https://www.econbiz.de/10010308395

Have bull and bear markets changed over time? Empirical evidence from the US-stock market

Grobys, Klaus - In: Journal of Finance and Investment Analysis 1 (2012) 1, pp. 151-171

This contribution analyzes bull and bear markets from 1954:1-2011:2 in the US-stock index S&P 500. Thereby, a 2-State-Markov-Switching … model is applied to figure out bull and bear market regimes within the latter period, whereby the estimated state …

Persistent link: https://www.econbiz.de/10010286823

Disentangling demand and supply shocks in the crude oil market: How to check sign restrictions in structural VARs

Lütkepohl, Helmut; Netsunajev, Aleksei - 2012

Given the growing dissatisfaction with exclusion and long-run restrictions in structural vector autoregressive analysis, sign restrictions are becoming increasingly popular. So far there are no techniques for validating the shocks identified via such restrictions. Although in an ideal setting...

Persistent link: https://www.econbiz.de/10010287331

Identifying structural vector autoregressions via changes in volatility

Lütkepohl, Helmut - 2012

Identification of shocks of interest is a central problem in structural vector autoregressive (SVAR) modelling. Identification is often achieved by imposing restrictions on the impact or long-run effects of shocks or by considering sign restrictions for the impulse responses. In a number of...

Persistent link: https://www.econbiz.de/10010290964

Identifying Structural Vector Autoregressions via Changes in Volatility

Lütkepohl, Helmut - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

Persistent link: https://www.econbiz.de/10011128872

Reconstructing Colombia`s Recent History of Monetary Policy from 1990 to 2010

Giraldo, Andrés; Misas, Martha; Villa, Edgar - In: ENSAYOS SOBRE POLÍTICA ECONÓMICA (2012)

a two regime Markov switching model which allowed the switching dates to be endogenously determined. We found that one …

Persistent link: https://www.econbiz.de/10010828145

The Debate about the Revived Bretton-Woods Regime: A Survey and Extension of the Literature

Hall, Stephen George; Tavlas, George S. - LeBow College of Business, Drexel University - 2012

, leading to its breakdown. We extend the Markov switching model to examine the relation between global liquidity and commodity …

Persistent link: https://www.econbiz.de/10010841132

Cartel in the Indian cement industry: An attempt to identify it

Bejger, Sylwester - Institut für Weltwirtschaft (IfW) - 2012

marker based on structural disturbances in a price process'; variance. Then, he applies a Markov switching model with …

Persistent link: https://www.econbiz.de/10010956067

Do Socially Responsible Investment Indexes Outperform Conventional Indexes?

Managi, Shunsuke; Okimoto, Tatsuyoshi; Matsuda, Akimi - Volkswirtschaftliche Fakultät, … - 2012

based on the Markov switching model. We find two distinct regimes (bear and bull) in the SRI markets as well as the stock …

Persistent link: https://www.econbiz.de/10009647233