We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-move sampling techniques for Markov Switching (MS) state space models with particular attention to MS-GARCH models....

This paper analyses features of 28 provincial growth-cycles in China’s economy from March 1989 to July 2009. We study the multivariate synchronization of provincial cycles and the selection of the number of cycles phases’ by means of panel Markov-switching models. We obtain evidence that...

This paper proposes a panel Markov-Switching (MS-) VAR model suitable for a multi-country analysis of the business cycle. We study the business cycles fluctuations of a group of countries, analyse the transmission of shocks across cycles and predict the turning points of the country-specific...