The Markov-switching vector autoregressive model[M].Springer: Markov-Switching Vector Autoregressions, 1997:6 -28.The Markov-switching vector autoregressive model. KROLZIG H M. . 1997Krolzig, H.-M. (1997). The markov-switching vector autoregressive model. Working paper, Vol.1:1-27....
Vector error correction modelIn structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. Unfortunately, these shocks may not have a meaningful structural economic ...
Markov-switchingMultivariate stochastic volatilityStochastic correlationThis article develops a new Markov-switching vector autoregressive (VAR) model with stochastic correlation for contagion analysis on financial markets. The correlation and the log-volatility dynamics are driven by two independent Markov ...
We contribute to the theoretical understanding of Markov-switching Vector AutoRegressive (MS VAR) processes by making available conditional moments given regimes — i.e. moments conditional on any state or sequence of states — up to the fourth order. These conditional moments have several utilities....
In this study, Bayesian inference is developed for SVAR models in which the structural parameters are identified via Markov-switching heteroskedasticity. In such a model, restrictions that are just-identifying in the homoskedastic case, become over-identifying and can be tested. A set of parametric...
This paper introduces a Bayesian approach to a Markov switching vector error correction model that allows for regime shifts in the intercept terms, the lag terms, the adjustment terms and the variance-covariance matrix. The proposed Bayesian method allows for estimation of the cointegrating vector wit...
Autoregressive Markov switching (ARMS) time series models are used to represent real-world signals whose dynamics may change over time. They have found application in many areas of the natural and social sciences, as well as in engineering. In general, i
To that end, we use Markov-switching vector autoregressive (MS-VAR) models, rather than vector autoregressive (VAR) models, which allows for regime shifts. These models are capable of detecting changes in the relationship between variables; in addition, the coefficients of the model are time ...
Markov-switching VARSpainE62E63H20H50How have the effects of Spanish fiscal policy varied over time? Given this starting point, in this article we analyse the regime dependence of fiscal policy in Spain by estimating a vector autoregressive model within a Markov-switching framework. Our results ...
This post explains the Markov switching multifractal (MSM) model of Calvet and Fisher (2004) and introduces a R package for this model. It is well-known that MSM model can describe stylized facts of volatility such as long memory, volatility clu...