autoregressive model with time-varying transition probabilities that depend on the state of the economy. We propose new …

autoregressive model with time-varying transition probabilities that depend on the state of the economy. We propose new …

. Second, we estimate one-step Markov-switching models with time-varying transition probabilities using the diffusion indices …

. Second, we estimate one-step Markov-switching models with time-varying transition probabilities using the diffusion indices …

. Second, we estimate one-step Markov-switching models with time-varying transition probabilities using the diffusion indices …

absence of time-varying transition probabilities. Accordingly, the stochastic nature of transition probabilities has important … refine or extend this one by integrating timing flexibility and changes in cash flows with time-varying transition … probabilities for regime switching. This study emphasizes that optimal thresholds are either overvalued or undervalued in the …