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  • Search: subject:"Markov Switching Model"
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Year of publication
Subject
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Markov-Kette 198 Markov chain 197 Markov switching model 193 Markov-switching model 133 Schätzung 111 Estimation 105 Theorie 76 Theory 72 Volatility 61 Volatilität 56 Time series analysis 54 Zeitreihenanalyse 54 Börsenkurs 43 Share price 43 Aktienmarkt 38 Stock market 38 Capital income 37 Kapitaleinkommen 37 Markov Switching Model 36 Bayesian inference 34 Business cycle 34 Konjunktur 31 Wechselkurs 31 Exchange rate 30 Prognoseverfahren 29 Forecasting model 28 ARCH model 27 ARCH-Modell 27 VAR model 26 VAR-Modell 26 heteroskedasticity 26 Monetary policy 24 USA 23 Bayes-Statistik 22 Cointegration 22 Oil price 22 EU-Staaten 21 Geldpolitik 21 Kointegration 21 Welt 21
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Online availability
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Free 231 Undetermined 144 CC license 10
Type of publication
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Article 260 Book / Working Paper 189 Other 2
Type of publication (narrower categories)
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Article in journal 176 Aufsatz in Zeitschrift 176 Working Paper 88 Graue Literatur 53 Non-commercial literature 53 Arbeitspapier 49 Article 16 Thesis 5 Aufsatz im Buch 4 Book section 4 Hochschulschrift 4 research-article 3 Collection of articles of several authors 1 Sammelwerk 1
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Language
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English 323 Undetermined 114 Portuguese 8 German 2 Spanish 2 Czech 1 French 1
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Author
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Velinov, Anton 21 Lütkepohl, Helmut 18 Chevallier, Julien 9 Dufays, Arnaud 8 MacDonald, Ronald 8 Frömmel, Michael 7 Vansteenkiste, Isabel 7 Amisano, Gianni 6 Mendonça, Mário Jorge 6 Netšunajev, Aleksei 6 Park, Cyn-Young 6 Ahmad, Wasim 5 Aray, Henry 5 Balcilar, Mehmet 5 Beckmann, Joscha 5 Chen, Shyh-Wei 5 Czudaj, Robert 5 De Grauwe, Paul 5 Menkhoff, Lukas 5 Sachsida, Adolfo 5 Al-Maadid, Alanoud 4 Altavilla, Carlo 4 Beutler, Toni 4 Calice, Giovanni 4 Caporale, Guglielmo Maria 4 Chen, Wenjuan 4 Funke, Michael 4 Gagné, Robert 4 Gubler, Matthias 4 Hauri, Simona 4 Jiang, Yu 4 Kaufmann, Sylvia 4 Muzindutsi, Paul-Francois 4 Netsunajev, Aleksei 4 Nuño, Galo 4 Renner, Philipp 4 Scheidegger, Simon 4 Sehgal, Sanjay 4 Spagnolo, Fabio 4 Spagnolo, Nicola 4
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 8 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 7 Econometric Society 4 HAL 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Departamento de Teoría e Historia Económica, Facultad de Ciencias Económicas y Empresariales 3 EconWPA 3 European Central Bank 3 Université Paris-Dauphine (Paris IX) 3 CESifo 2 Center for Quantitative Economics (CQE), Wirtschaftswissenschaftliche Fakultät 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Centre d'Études des Politiques Économiques (EPEE), Université d'Évry Val d'Essonne 2 Eesti Pank 2 Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI) 2 Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 2 Bank of Greece 1 Bank of Japan 1 Banque de France 1 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 1 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Centre d'études prospectives et d'informations internationales (CEPII) 1 Centre de Recherche en Économie Appliquée (CREA), Faculté de droit, d'économie et de finance 1 Departamento de Economía, Pontificia Universidad Católica del Perú 1 Department of Accounting, Finance and Economics, Griffith Business School 1 Department of Economics, European University Institute 1 Department of Economics, Faculty of Economic and Management Sciences 1 Department of Economics, Leicester University 1 Department of Economics, University of Connecticut 1 Dipartimento di Studi Economici "Salvatore Vinci", Università degli Studi di Napoli - "Parthenope" 1 East Asian Bureau of Economic Research (EABER) 1 Economic Research Southern Africa (ERSA) 1 Economics Department, University of Strathclyde 1 European Association of Agricultural Economists - EAAE 1 Fachbereich Sozialökonomie, Universität Hamburg 1 Faculteit Economie en Bedrijfskunde, Universiteit Gent 1 Graduate School of Economics, Hitotsubashi University 1 Graduate School of Economics, Osaka University 1 Groupe d'Analyse et de Théorie Économique Lyon St-Étienne (GATE Lyon St-Étienne), Faculté de Sciences Économiques et de Gestion 1 Institut d'Économie Appliquée, HEC Montréal (École des Hautes Études Commerciales) 1
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Published in...
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DIW Discussion Papers 8 MPRA Paper 8 Discussion Papers of DIW Berlin 7 Energy economics 7 Applied economics 6 ECB Working Paper 5 Economic modelling 5 International review of financial analysis 5 Iranian economic review : journal of University of Tehran 5 The North American journal of economics and finance : a journal of financial economics studies 5 CESifo Working Paper 4 Discussion papers / Deutsches Institut für Wirtschaftsforschung 4 Economic Modelling 4 Economies 4 Economies : open access journal 4 Energy Economics 4 Journal of International Money and Finance 4 Journal of empirical finance 4 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 4 CESifo working papers 3 CORE Discussion Papers 3 Diskussionsbeitrag 3 Dynamic Econometric Models 3 Econometric Society 2004 Far Eastern Meetings 3 Economics Papers from University Paris Dauphine 3 International journal of emerging markets 3 International journal of finance & economics : IJFE 3 International review of economics & finance : IREF 3 Journal of econometrics 3 Research in international business and finance 3 Texto para Discussão 3 Texto para discussão / Instituto de Pesquisa Econômica Aplicada 3 ThE Papers 3 The empirical economics letters : a monthly international journal of economics 3 Working Paper Series / European Central Bank 3 Applied Econometrics and International Development 2 Applied economics letters 2 Asia-Pacific Financial Markets 2 Bank of Estonia Working Papers 2 CESifo Working Paper Series 2
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Source
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ECONIS (ZBW) 236 RePEc 154 EconStor 55 BASE 3 Other ZBW resources 3
Showing 1 - 10 of 451
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Ambiguity about volatility in the commodity futures market
Verousis, Thanos; Wang, Kai; Zhou, Zhiping - In: Energy economics 155 (2026), pp. 1-18
Persistent link: https://www.econbiz.de/10015632674
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Overnight interbank rate volatility across liquidity states : key drivers and policy implications
Mukhtarov, Elmir; Hajili, Ali; Garayeva, Aygun; … - 2026
Effective monetary policy requires maintaining the short-term interbank rate close to the policy rate while limiting its volatility, ensuring smooth transmission, and reducing banks' liquidity and interest rate risks. This paper seeks to identify and explain the drivers of volatility in...
Persistent link: https://www.econbiz.de/10015614335
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Identifying macrofinancial risk regimes in Malta
Gatt, William; Vella, Sarah - 2025
The withdrawal of public sector intervention from Malta's housing market commenced in the early 1990s, while financial markets were liberalised in 1994. These developments were likely behind the significant expansion in credit and house price appreciation experienced over the past two decades,...
Persistent link: https://www.econbiz.de/10015450380
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The risk-return trade-off of Bitcoin : evidence from regime-switching analysis
Tsuji, Chikashi - In: Future business journal 11 (2025) 1, pp. 1-25
Despite its importance, there has been little research on the relationship between Bitcoin's risk and returns. Therefore, it is necessary to investigate the risk-return trade-off of Bitcoin. In the existing limited literature, a negative risk-return relationship in Bitcoin for high-frequency...
Persistent link: https://www.econbiz.de/10015613988
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The impact of WTI futures on Shanghai crude futures : identifying spillover effects on crude oil prices using the multiplicative error model
Forgione, Antonio Fabio; Migliardo, Carlo; Otranto, Edoardo - In: Journal of economic studies 52 (2025) 9, pp. 215-233
Persistent link: https://www.econbiz.de/10015574303
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Monetary policy with persistent supply shocks
Nuño, Galo; Renner, Philipp; Scheidegger, Simon - 2025
Persistent link: https://www.econbiz.de/10015451186
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Identifying macrofinancial risk regimes in Malta
Gatt, William; Vella, Sarah - 2025
The withdrawal of public sector intervention from Malta's housing market commenced in the early 1990s, while financial markets were liberalised in 1994. These developments were likely behind the significant expansion in credit and house price appreciation experienced over the past two decades,...
Persistent link: https://www.econbiz.de/10015596026
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Agricultural commodities market reaction to COVID-19
Iuga, Iulia Cristina; Mudakkar, Syeda Rabab; Dragolea, … - In: Research in international business and finance 69 (2024), pp. 1-19
Persistent link: https://www.econbiz.de/10015052826
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Monetary policy spillovers and inter-market dynamics perspective of preferred habitat model
Wahid, Abdul; Kowalewski, Oskar - In: Economies : open access journal 12 (2024) 5, pp. 1-16
GARCH process, enhanced by Dynamic Conditional Correlations (DCC), as well as the Markov Switching Model, this research …
Persistent link: https://www.econbiz.de/10014636021
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Cover Image
Overnight interbank rate volatility across liquidity states : key drivers and policy implications
Mukhtarov, Elmir; Hajili, Ali; Garayeva, Aygun; … - 2025
Persistent link: https://www.econbiz.de/10015637245
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