Two Bayesian sampling schemes are outlined to estimate a K-state Markov switching model with time-varying transition probabilities. The multinomial logit model for the transition probabilities is alternatively expressed as a random utility model and as a difference random utility model. The...

This paper contributes to the literature on the financial integration in international stock markets by examining the dynamic relationship between global factors and herd behavior in an emerging market. Utilizing a time-varying transition probability Markov Switching model (TVTP-MS), we examine...

This paper contributes to the literature on the financial integration in international stock markets by examining the dynamic relationship between global factors and herd behavior in an emerging market. Utilizing a time-varying transition probability Markov Switching model (TVTP-MS), we examine...

During periods of market stress, electricity prices can rise dramatically. Electricity retailers cannot pass these extreme prices on to customers because of retail price regulation. Improved prediction of these price spikes, therefore, is important for risk management. This paper builds a...

This paper contributes to the literature on the financial integration in international stock markets by examining the dynamic relationship between global factors and herd behavior in an emerging market. Utilizing a time-varying transition probability Markov Switching model (TVTP-MS), we examine...