Search Results - subject:"Switching Models"

Asset allocation under regimes in European economies

Berujon, Sebastien; Lewin, Marcelo; Campani, Carlos Heitor - In: International journal of accounting and finance 12 (2024) 1/2, pp. 47-70

Persistent link: https://www.econbiz.de/10015376411

Bubbles and dependence between international equity markets

Ye, Wuyi; Gao, Lingbo; Liu, Xiaoquan - In: Quantitative finance 24 (2024) 1, pp. 119-138

Persistent link: https://www.econbiz.de/10014551948

Accessing the effect of smartphone agricultural applications on land transfer : evidence from Sichuan province in China

Yu, Xi; Abdulai, Awudu; Li, Dongmei - In: China agricultural economic review : CAER 16 (2024) 1, pp. 181-204

Persistent link: https://www.econbiz.de/10014514695

Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US

Haase, Felix; Neuenkirch, Matthias - 2021

. Second, we estimate one-step Markov-switching models with time-varying transition probabilities using the diffusion indices …. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching … models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …

Persistent link: https://www.econbiz.de/10012492974

Tackling Large Outliers in Macroeconomic Data with Vector Artificial Neural Network Autoregression

Polito, Vito; Zhang, Yunyi - 2021

We develop a regime switching vector autoregression where artificial neural networks drive time variation in the coefficients of the conditional mean of the endogenous variables and the variance covariance matrix of the disturbances. The model is equipped with a stability constraint to ensure...

Persistent link: https://www.econbiz.de/10012799695

Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange: All share index

Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies 9 (2021) 2, pp. 1-18

During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....

Persistent link: https://www.econbiz.de/10013200343