Search Results - subject:"Markov Switching Model"

Measuring U.S. Business Cycles: A Comparison of Two Methods and Two Indicators of Economic Activities (With Appendix A)

Ahking, Francis - Department of Economics, University of Connecticut - 2015

We examine two issues in business cycle research. We first compare the performance of Hamilton’s Markov-Switching (MS) model and the Bry and Boschan algorithm in replicating the US business cycle features. A number of studies, especially Harding and Pagan, have demonstrated that Hamilton’s...

Persistent link: https://www.econbiz.de/10011251903

Causality between inflation and inflation uncertainty in South Africa: evidence from a Markov-switching vector autoregressive model

Nasr, Adnen Ben; Balcilar, Mehmet; Ajmi, Ahdi Noomen; … - In: Emerging markets review 24 (2015), pp. 46-68

Persistent link: https://www.econbiz.de/10011538531

Currency forecast errors and carry trades at times of low interest rates : evidence from survey data on the yen/dollar exchange rate

MacDonald, Ronald; Nagayasu, Jun - In: Journal of international money and finance 53 (2015), pp. 1-19

Persistent link: https://www.econbiz.de/10011475902

A Markov-switching model for Indian stock price and volume

Chaudhuri, Kausik; Kumar, Alok - In: Journal of emerging market finance 14 (2015) 3, pp. 239-257

Persistent link: https://www.econbiz.de/10011430595

Threshold models in time series analysis : some reflections

Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491

Persistent link: https://www.econbiz.de/10011504634

Regime shifts and volatility in BRIICKS stock markets : an asset allocation perspective

Ahmad, Wasim; Sehgal, Sanjay - In: International journal of emerging markets 10 (2015) 3, pp. 383-408

Persistent link: https://www.econbiz.de/10011489265

Revisiting the Feldstein-Horioka puzzle with regime switching : new evidence from European countries

Chen, Shyh-Wei; Shen, Chung-hua - In: Economic modelling 49 (2015), pp. 254-259

Persistent link: https://www.econbiz.de/10011439547

Do energy prices always affect EU allowances? : evidence following the Copenhagen Summit

Lv, Xin; Dong, Weijia; Chen, Qian - In: Journal of contemporary management : JMC 4 (2015) 3, pp. 13-24

Persistent link: https://www.econbiz.de/10011392900

Forecasting the daily outbreak of topic-level political risk from social media using hidden Markov model-based techniques

Suh, Jong Hwan - In: Technological forecasting & social change : an … 94 (2015), pp. 115-132

Persistent link: https://www.econbiz.de/10011389992

Do stock prices reflect their fundamentals? : new evidence in the aftermath of the financial crisis

Velinov, Anton; Chen, Wenjuan - In: Journal of economics & business 80 (2015), pp. 1-20

Persistent link: https://www.econbiz.de/10011317809