to provide a means for assessing how to improve the regime switching model’s characterization of the data. In this sense …, Hamilton (1990) shows that the MLE of the Gaussian regime switching model (2.4) is equivalent to a weighted regression where …. Lemma 2.2 Let z t =[y t ,x t ] 0 . Given a regime switching model of the form in (2.1) E ³ π r t|t+τ m(z t ) ´ = π r E (m …

, Federal Reserve Bank of St. Louis Abstract: This paper evaluates the ability of a statistical regime-switching model … the regime-switching model could be a useful supplement to the NBER Business Cycle Dating Committee for establishing … dates over the 40 year period. Overall, the evidence presented above suggests that a statistical regime-switching model …

construction. As an interesting application, we develop a regime-switching model to approximate the Heston's stochastic volatility …In this paper we develop an efficient tree approach for option pricing when the underlying asset price follows a regime-switching … model. The tree grows only linearly as the number of time steps increases. Thus it enables us to use large number of time …

specification of a regime-switching model (independent or Markov-switching) can eliminate or reduce this correlation, hence the …