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  • Search: subject_exact:"Markov chain"
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Year of publication
Subject
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Markov chain 9,988 Markov-Kette 9,600 Theorie 4,804 Theory 4,799 Schätzung 1,755 Estimation 1,753 Stochastischer Prozess 1,429 Stochastic process 1,427 Bayesian inference 1,121 Bayes-Statistik 1,120 Monte Carlo simulation 1,112 Monte-Carlo-Simulation 1,110 Volatility 1,099 Volatilität 1,098 Zeitreihenanalyse 1,016 Time series analysis 1,012 Forecasting model 779 Prognoseverfahren 779 Estimation theory 669 Schätztheorie 669 Business cycle 591 Konjunktur 587 Mathematical programming 555 Mathematische Optimierung 555 United States 549 USA 548 ARCH model 507 ARCH-Modell 507 Capital income 493 Kapitaleinkommen 493 Game theory 491 Spieltheorie 491 Börsenkurs 468 Share price 467 Option pricing theory 449 Optionspreistheorie 449 Portfolio selection 425 Portfolio-Management 423 Entscheidung 421 Decision 419
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Online availability
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Free 3,510 Undetermined 3,236 CC license 220
Type of publication
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Article 6,313 Book / Working Paper 3,800 Journal 2
Subcategories
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Article in journal 5,910 Working paper 2,090 Book section 317 Proceedings 63 Government document 25 Literature review 10 Textbook 10 Case study 5 Handbook 4 Biography 1 Glossary included 1 Reference work 1 Report 1 Review 1 Statistics 1
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Language
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English 9,664 Undetermined 327 German 74 French 27 Spanish 7 Polish 6 Portuguese 4 Croatian 2 Hungarian 1 Italian 1 Dutch 1 Swedish 1 Chinese 1
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Author
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Elliott, Robert J. 54 Casarin, Roberto 50 Billio, Monica 44 Waggoner, Daniel F. 44 Siu, Tak Kuen 40 Sola, Martin 40 Dijk, Herman K. van 38 Reffett, Kevin L. 36 Tsionas, Efthymios G. 33 Guidolin, Massimo 32 Piger, Jeremy Max 32 Zha, Tao 32 Gupta, Rangan 30 Stachurski, John 29 Kaufmann, Sylvia 28 Kohn, Robert 28 Chauvet, Marcelle 27 Doraszelski, Ulrich 27 Lütkepohl, Helmut 27 Bauwens, Luc 26 Kim, Chang-jin 26 Lucas, André 26 Marcellino, Massimiliano 26 Ravazzolo, Francesco 26 Chib, Siddhartha 25 Cui, Zhenyu 25 D'Amico, Guglielmo 25 Psaradakis, Zacharias G. 25 Balbus, Lukasz 23 Koop, Gary 23 Koopman, Siem Jan 23 Paap, Richard 23 Rady, Sven 23 Spagnolo, Fabio 23 Dijk, Dick van 22 Dufays, Arnaud 22 Frühwirth-Schnatter, Sylvia 22 Guérin, Pierre 22 Krolzig, Hans-Martin 22 Sethi, Suresh 22
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Institution
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National Bureau of Economic Research 45 International Monetary Fund (IMF) 29 Ekonomiska forskningsinstitutet <Stockholm> 11 Federal Reserve Bank of St. Louis 10 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 10 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 10 HAL 9 Centre for Analytical Finance <Århus> 6 California Agricultural Experiment Station / Department of Agricultural and Resource Economics 4 Econometrisch Instituut <Rotterdam> 4 Economics Institute for Research (SIR), Handelshögskolan i Stockholm 4 European Association of Agricultural Economists - EAAE 4 European University Institute / Department of Law 4 Land Economy and Environment Group, Scotland's Rural College 4 Springer Fachmedien Wiesbaden 4 University of Strathclyde / Department of Economics 4 Christian-Albrechts-Universität zu Kiel 3 Department of Economics, University of California-San Diego (UCSD) 3 European Commission / Statistical Office of the European Union 3 European University Institute / Department of Economics 3 London School of Economics and Political Science 3 School of Economics and Management, University of Aarhus 3 Society for Computational Economics - SCE 3 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 3 University of British Columbia / Finance Division 3 University of Melbourne / Department of Economics 3 University of Reading / Department of Economics 3 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 2 Centre for Actuarial Studies 2 Centre for Growth and Business Cycle Research <Manchester> 2 Centro Ricerche Nord Sud (CRENoS) 2 Departamento de Fundamentos del Análisis Económico I, Facultad de Ciencias Económicas y Empresariales 2 Department of Economics, Oxford University 2 Department of Economics, Rutgers University-New Brunswick 2 Département d'Économique, Université Laval 2 EconWPA 2 Econometric Society 2 European Central Bank 2 Federal Reserve Bank of Atlanta 2 Federal Reserve Bank of New York 2
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Published in...
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European journal of operational research : EJOR 276 Journal of econometrics 149 Operations research 118 Mathematics of operations research 114 Operations research letters 111 Discussion paper / Tinbergen Institute 91 Economic modelling 90 International journal of production research 89 Journal of economic dynamics & control 89 Economics letters 82 International journal of theoretical and applied finance 79 Mathematical methods of operations research 77 Insurance 76 Computational economics 70 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 70 Energy economics 69 Working paper 68 Studies in nonlinear dynamics and econometrics 67 Applied economics 65 International journal of production economics 63 Computers & operations research : and their applications to problems of world concern ; an international journal 57 Working papers 57 Quantitative finance 56 International journal of forecasting 52 Journal of forecasting 52 Dynamic games and applications : DGA 51 Journal of economic theory 51 Risks : open access journal 51 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 48 Finance research letters 45 Management science : journal of the Institute for Operations Research and the Management Sciences 45 Applied economics letters 43 Discussion paper / Centre for Economic Policy Research 42 Macroeconomic dynamics 42 Opsearch : journal of the Operational Research Society of India 42 Finance and stochastics 41 NBER Working Paper 41 NBER working paper series 40 Journal of empirical finance 39 Série des documents de travail / Centre de Recherche en Économie et Statistique 39
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Source
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ECONIS (ZBW) 9,602 RePEc 341 Other ZBW resources 91 EconStor 55 USB Cologne (business full texts) 12 USB Cologne (EcoSocSci) 11 BASE 3
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Showing 1 - 50 of 8,883
 
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A hybrid biobjective Markov chain based optimization model for sustainable aggregate production planning
Tirkolaee, Erfan Babaee; Aydın, Nadi Serhan; Mahdavi, Iraj - 2024
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015407828
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Severe weather and financial (in)stability
Foroni, Claudia; Gelain, Paolo; Lorusso, Marco; … - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609530
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Severe weather and financial (in)stability
Foroni, Claudia; Gelain, Paolo; Lorusso, Marco; … - 2026
Book / Working Paper
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Severe weather and financial (in)stability
Foroni, Claudia; Gelain, Paolo; Lorusso, Marco; … - 2026
Book / Working Paper
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Optimal lockdown policy with virus mutation
Batista, Quentin; Emoto, Masakazu; Maezono, Naoki; … - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611374
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MSTest: an R-package for testing Markov switching models
Rodriguez Rondon, Gabriel; Dufour, Jean-Marie - 2026 - Last updated: March 4, 2026
We present the R package MSTest, which implements hypothesis testing procedures to determine the number of regimes in Markov switching models. These models have wide ranging applications in economics, finance, and many other fields. MSTest provides several testing frameworks, including Monte...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015612283
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On the occupation measure of evolution models with vanishing mutations
Benaïm, Michel; Bravo, Mario; Faure, Mathieu - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015614360
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Regime shifts in U.S. trend inflation : pre-Volcker to post-great moderation
Hu, Ruopu; Maith, Junior; Nishiyama, Shin-Ichi - 2026 - This version: March 6, 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615812
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Green horizons : sustainable global logistics in dynamic supply chain management
Mohammadi, Mahsa; Tosarkani, Babak Mohamadpour - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015519790
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Markov-switching DSGE modeling in RISE
Maih, Junior; Hashimzade, Nigar; Kirsanov, Oleg; … - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015604809
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Patent valuation under fragile institutional enforcement : a continuous-time markov approach
Pai, Srikanth; Hariharan, Akila; Srinivasan, Naveen - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015607299
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Fiscal and monetary dominance in a small open economy : a Markov-Switching VAR approach to Hungarian policy
Salimi, Sara; Tatay, Tibor; Kazinczy, Eszter; Amini, Mehran - 2026
The interplay between fiscal and monetary policy is critical for small open economies exposed to global volatility, yet the regime-dependent nature of this transmission often remains underexplored. This study investigates whether the Hungarian economy operated under fiscal or monetary dominance...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015626067
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Stationary distributions in monotone Markov models : theory and applications
Kamihigashi, Takashi; Stachurski, John - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639238
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Impact of simultaneous jumps in mortality and asset markets on GMDB riders
Zadeh, Amin Hassan; Rostami, Arman; Stankova, Kristina G. - 2026
This study investigates the impact of jointly modeling jumps in asset prices and mortality rates on the valuation of insurance guarantees. Mortality dynamics are specified using two extended frameworks based on the classical Lee-Carter model, with and without the inclusion of jump components....
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015656197
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Ambiguity about volatility in the commodity futures market
Verousis, Thanos; Wang, Kai; Zhou, Zhiping - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015632674
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Quantum Bayesian inference : an exploration
Frost, Jon; Madeira, Carlos; Rastogi, Yash; Uhlig, Harald - 2026 - This revision: February 20, 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668220
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Asymmetric effects of oil price fluctuations on financial stress
Apostolakis, George N. - 2026
Fluctuations in oil prices transmit greater uncertainty in financial markets depending on the current market conditions or the direction of price movement. We employ nonlinear autoregressive distributive lag (NARDL) and Markov switching regression autoregressive conditionally heteroskedastic...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670569
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The comparison of the hidden Markov model with machine learning techniques in agricultural prediction
Vyshnavi, Muraleedharan; Muthukumar, Madaswamy - 2026
This study compares hidden Markov models (HMMs) with various machine learning approaches to assess their effectiveness in forecasting agricultural data based on Python. Accurate forecasts are essential to promote sustainability and increase agricultural productivity. Through the use of an...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015667476
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Ups and (draw) downs
Proietti, Tommaso - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668167
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The influence of fiscal policy on gender-specific unemployment during the COVID-19 shock in Poland
Al Mamun, Tuhin G. M. - 2026
The COVID-19 pandemic significantly disrupted labor markets worldwide, exacerbating pre-existing gender disparities in employment. This study examines the gender-specific impacts of the pandemic on unemployment trends in Poland from 1992 to 2023, by using a Markov Switching Vector Auto...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664819
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Wavelet-enhanced multimodel framework for stock market forecasting : a comprehensive analysis across market regimes
Okşak, Yüksel; Büyükkör, Yasin; Sarıtaş, Tufan - 2026
In this study, we develop a hybrid forecasting framework that integrates discrete wavelet transform with multiple machine and deep learning architectures to address nonlinearity and regime-dependent dynamics in financial markets. Log-return series using daily data from the BIST 100, S&P 500, and...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664858
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Bayesian contiguous Gaussian and generalized linear dynamic models on graphs : theory, computation, and simulation
Stival, Mattia; Tonellato, Stefano F. - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670865
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Monte Carlo likelihood-ratio tests for Markov switching models
Rodriguez Rondon, Gabriel; Dufour, Jean-Marie - 2026 - Last updated: July 2, 2026
Markov switching models are widely used to capture nonlinearities arising from regime shifts. Most existing tests for the number of regimes focus on one versus two regimes. Even in such simple cases, this type of problem raises issues of non-standard asymptotic distributions, identification...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015670737
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From regime detection to decision rules : a data-driven macro-financial CVaR framework for European multi-asset portfolios
Martín-Lunas, Jorge Grube; Lazcano, Ana; Sandubete, … - 2026
Weekly macro-financial and financial market data, combined with machine learning methods, offer new possibilities for identifying latent economic states in real time, but the portfolio value of regime detection depends critically on how detected states are translated into allocation rules. This...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676776
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Chaotic asset price dynamics with technology choice and imperfect observation
Zhang, Jing; Asano, Takao; Shibata, Akihisa; Yokoo, Masanori - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015674846
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Mean-field singular stochastic control with regime switching
Somé, Maalvladédon Ganet; Korveh, Edward; … - 2026
In this paper, we study a class of mean-field singular stochastic optimal control problems for systems governed by regime-switching mean-field stochastic differential equations. The state dynamics depend on both regular and singular controls, and the coefficient of the singular component is...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016059169
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Macroeconomic parameter instability in auto loan loss models
Fritsch, Nicholas T.; Prescott, Edward Simpson - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016073015
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Optimization of maintenance planning in power distribution systems using a discrete-time Markov chain model asset analysis and resource allocation
Tahooneh, Mohammad Taghi; Shaghaghi, Aidin; Rezaei, Vahid; … - 2026
This study aims to optimize maintenance planning in power distribution systems by addressing the complexity of operational states, resource allocation, and the high costs associated with preventive and corrective maintenance. A comprehensive state-based model is developed to represent all...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676509
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Overcoming the curse of dimension of the optimal group maintenance policy of a heterogeneous multi-component series system
Barde, Stephane; Ko, Young Myoung; Shin, Hayong - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081982
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Enhancing operational performance in textile manufacturing: impact of deep learning-based defect detection
Carvalho, Artur; Miguéis, Vera; Moura e Sá, Miguel - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016079170
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Sandwiched Volterra volatility model : Markovian approximations and hedging
Di Nunno, Giulia; Yurchenko-Tytarenko, Anton - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081499
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The dynamics of household financial fragility : natural disasters and asymmetric regime transitions
Grajzl, Peter; Wick, Benedikt - 2026
We develop a dynamic approach to household financial fragility, conceptualized as an unobserved latent state spanning objective precautionary liquidity and subjective appraisals of solvency and borrowing capacity. Using five waves (2021-2025) of the Federal Reserve's SHED and estimating a latent...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016086959
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Construction and forecasting of the imported food price index in Azerbaijan
Nuriyev, Tamkin; Garayeva, Aygun; Tahirova, Gulzar - 2026
Using 800,000 transaction-level customs records from January 2018 to February 2026, the paper constructs a trade-weighted Imported Food Price Index (IFPI), covering 34 items from the consumer basket with significant import dependence. The index is developed using the Fisher ideal methodology to...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016064322
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Construction and forecasting of the imported food price index in Azerbaijan
Nuriyev, Tamkin; Garayeva, Aygun; Tahirova, Gulzar - 2026
Book / Working Paper
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Data-driven multi-stage stochastic programming models for integrated hurricane relief logistics and evacuation problem
Bhattarai, Sudhan; Song, Yongjia - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016088453
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Stochastic volatility in mean : efficient analysis by a generalized mixture sampler
Hiraki, Daichi; Chib, Siddhartha; Omori, Yasuhiro - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091806
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Likelihood specification in simultaneous equation models for discrete data
Jeljazkov, Ivan G.; Vossmeyer, Angela - 2026
Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091761
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Predicting convergence of per capita income in Spain: A Markov and cluster approach
Gálvez-Rodríguez, José F.; Manzano-Hidalgo, Miguel; … - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015469178
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Financial strain in Norway: The lifetime risk of and expected time spent in payment problems
Hiilamo, Aapo; Hermansen, Åsmund - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015585979
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Using stochastic frontier analysis to assess the performance of public service providers in the presence of demand uncertainty
Hong Ngoc Nguyen; O'Donnell, Christopher John - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015486113
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Bayesian stochastic frontier models under the skew-normal half-normal settings
Wei, Zheng; Choy, S. T. Boris; Wang, Tonghui; Zhu, Xiaonan - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015486118
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Maintenance optimization for multi-component systems with a single sensor
Eggertsson, Ragnar; Eruguz, Ayse Sena; Basten, Rob; … - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015085312
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Regularized Bayesian best response learning in finite games
Mukherjee, Sayan; Roy, Souvik - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015154606
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Data-driven dynamic police patrolling : an efficient Monte Carlo tree search
Tschernutter, Daniel; Feuerriegel, Stefan - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015094945
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Partial information and mean field games : the case of linear quadratic stochastic aggregative games with discrete observations
Rajabali, Farid; Malhamé, Roland; Bolouki, Sadegh - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015205404
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The efficacy of monetary and fiscal policies on economic growth : evidence from Thailand
Pathairat Pastpipatkul; Htwe Ko - 2025
This study empirically explores the dynamic effect of MP and FP on the economic growth of Thailand from Q1:2003 to Q2:2024. In this study, data analysis was conducted using an advanced sequence of the econometric modeling approach to guarantee that the estimated results were more consistent and...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015206799
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Predicting convergence of per capita income in Spain : a Markov and cluster approach
Gálvez-Rodríguez, José F.; Manzano-Hidalgo, Miguel; … - 2025
In this work we analyze the evolution of productivity, in terms of the convergence of per capita income, of all the Spanish provinces, based on data from the previous decade. On the one hand, a cluster analysis allows us to group the Spanish provinces according to four income levels (low,...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015206807
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Development of methods of artillery control for suppression of an enemy amphibious operation in video game simulations
Grishyn, Maksym; Maksymova, Oksana; Kirkopulo, Kateryna; … - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015549094
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Dynamics of onion production and trade in India : regional trends, export patterns, and policy insights
Nayak, Akshata; Channamma G - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015619027
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Frequency and severity of current account reversals : an analysis with a rational expectations regime switching DSGE model
Hamano, Masashige; Murakami, Yuki - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015323637
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Modelling epidemiological and economics processes : the case of cervical cancer
Taeger, Franziska; Mende, Lena; Fleßa, Steffen - 2025
Different types of mathematical models can be used to forecast the development of diseases as well as associated costs and analyse the cost-effectiveness of interventions. The set of models available to assess these parameters, reach from simple independent equations to highly complex...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371857
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Cost-effectiveness analysis of combination therapies involving novel agents for first/second-relapse patients with multiple myeloma : a Markov model approach with calibration techniques
Wu, Weijia; Tang, Fengyuan; Wang, Yannan; Yang, Wenqianzi; … - 2025
Background As the number of randomized clinical trials (RCTs) demonstrating the survival benefits of combination therapies in previously treated multiple myeloma (MM) patients increases, it is essential to determine the most cost- effective treatment through robust economic evaluation. This...
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015371885
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The impact of volatility regime dynamics on option pricing
Liu, Shican; Li, Qing; Fan, Siqi - 2025
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015372565
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