Search Results - subject:"Markov regime switching models"

Tradable and nontradable inflation in Turkey : predicting different states with Markov regime-switching approach

Saygılı, Hülya; Türkvatan, Aysun - 2021

Persistent link: https://www.econbiz.de/10013165403

Nonlinear common trends for the global crude oil market : Markov-switching score-driven models of the multivariate t-distribution

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020

Persistent link: https://www.econbiz.de/10012221928

Integrating solvency and liquidity stress tests : the use of Markov regime-switching models

Han, Fei; Leika, Mindaugas - 2019

conditions in the market. To account for variations in market liquidity, the study uses Markov regime-switching models and links …

Persistent link: https://www.econbiz.de/10012154762

Markov-switching score-driven multivariate models : outlier-robust measurement of the relationships between world crude oil production and US industrial production

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2019

Persistent link: https://www.econbiz.de/10012158760

Does Energy Consumption Volatility Affect Real GDP Volatility? An Empirical Analysis for the UK

Rashid, Abdul; Kocaaslan, Ozge Kandemir - Volkswirtschaftliche Fakultät, … - 2013

This paper empirically examines the relation between energy consumption volatility and unpredictable variations in real gross domestic product (GDP) in the UK. Estimating the Markov switching ARCH model we find a significant regime switching in the behavior of both energy consumption and GDP...

Persistent link: https://www.econbiz.de/10011110308

Does Energy Consumption Volatility Affect Real GDP Volatility? An Empirical Analysis for the UK

Rashid, Abdul; Kocaaslan, Ozge Kandemir - In: International Journal of Energy Economics and Policy 3 (2013) 4, pp. 384-384

Persistent link: https://www.econbiz.de/10010701189

Does energy consumption volatility affect real GDP volatility? : an empirical analysis for the UK

Rashid, Abdul; Kandemir Kocaaslan, Ozge - In: International Journal of Energy Economics and Policy : IJEEP 3 (2013) 4, pp. 384-394

Persistent link: https://www.econbiz.de/10010233929

Does Disagreement amongst Forecasters have Predictive Value?

Legerstee, Rianne; Franses, Philip Hans - 2010

Markov regime-switching models with constant and with time-varying transition probabilities are constructed in real-time and … improve forecasts when used in Markov regime-switching models. …

Persistent link: https://www.econbiz.de/10010326050

Does Disagreement amongst Forecasters have Predictive Value?

Legerstee, Rianne; Franses, Philip Hans - Tinbergen Instituut - 2010

Markov regime-switching models with constant and with time-varying transition probabilities are constructed in real-time and … improve forecasts when used in Markov regime-switching models. …

Persistent link: https://www.econbiz.de/10011257584

Does Disagreement Amongst Forecasters have Predictive Value?

Franses, Philip Hans; Legerstee, Legerstee, R. - Faculteit der Economische Wetenschappen, Erasmus … - 2010

Markov regime-switching models with constant and with time-varying transition probabilities are constructed in real-time and … improve forecasts when used in Markov regime-switching models. …

Persistent link: https://www.econbiz.de/10010837950