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 ...
This 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 chains, thus allowing for different effects such as volatility spill...
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....
Markov-Switching ModelsSavage-Dickey Density RatioMonetary Policy ShocksDivisia MoneyIn order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such ...
Bayesian uncertaintyKalman filterflood forecastingvector autoregressive modelwaveletsRiver discharge predictions often show errors that degrade the quality of ... K Bogner,F Pappenberger - 《Water Resources Research》 被引量: 103发表: 2011年 The Estimation of Threshold Models in Price Transmission Analysi...
We propose the class of sticky infinite hidden Markov-switching autoregressive moving average models, in which we disentangle the break dynamics of the mean and the variance parameters. In this class, the number of regimes is possibly infinite and is determined when estimating the model, thus ...
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
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 indicate that Spain's membership of the Economic and Monetary Union (EMU) is the most likely source ...
Second, they specify intermediate-frequency dynamics usually assigned to smooth autoregressive transitions. Finally, high-frequency switches generate substantial outliers. This multi-frequency regime switching model is called the Markov Switching Multifractal (MSM) model. MSM model tends to outperform major...