In this article we examine the persistence nature of Taiwan's aggregate output fluctuations by using the 'innovation regime-switching' (IRS) model in which the effect of an innovation may be permanent or transitory, depending on an unobservable state variable that follows a first order Markov...

In this article, we propose a new test for Markov switching models. Unlike the tests in the existing literature (e.g. Hansen, 1992; Garcia, 1998; Cho and White, 2007), we focus on testing the null of two regimes, instead of one single regime, in a switching framework. To implement our test, we propose a...

This study investigates reasonable price bounds for mortality-linked securities when the issuer has only a partial hedging ability. The price bounds are established by minimizing the difference between the benchmark price and the replicating portfolio cost subject to the gain–loss ratio of...

Purpose – The purpose of this paper is to investigate the volatility clustering in the return of land markets through both theoretical and empirical approaches. Design/methodology/approach – Using extensive monthly panel data at the provincial level from 1986 to 2013, the authors identify...

In this paper, we propose a temporal disaggregation model with regime switches to disaggregate U.S. quarterly GDP into monthly figures. Alternative to the existing literature, our model is able to capture the nonlinear behaviors of both aggregated and disaggregated output series as well as the...

In this paper, we reexamine the permanent income-consumption relationship analytically and empirically, based on the innovation regime-switching (IRS) model developed in [Kuan, C.M., Huang, Y.L., Tsay, R.S., 2005. An unobserved component model with switching permanent and transitory innovations....