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- Chen Pu & Hsiao Chih-Ying & Semmler Willi (2022): Instability in regime switching models
In this paper, we look at the instability of a self-exciting regime-switching autoregressive model, specifically regime-switching models that are locally stable in each of their regimes. It turns out that the local stability of each regime is insufficient to ensure the overall stability of the model.
RePEc:bpj:sndecm:v:26:y:2022:i:5:p:655-674:n:8 Save to MyIDEAS - Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS (2006): Regime switching GARCH models
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information.
RePEc:ctl:louvec:2006006 Save to MyIDEAS - Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts (2006): Regime switching GARCH models
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information.
RePEc:iea:carech:0608 Save to MyIDEAS - BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen (2006): Regime switching GARCH models
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information.
RePEc:cor:louvco:2006011 Save to MyIDEAS - Erlandsson, Ulf (2002): Regime Switches in Swedish Interest Rates
This paper examines the forecasting properties of a Markov regime-switching model applied to Swedish interest rate volatility.
RePEc:hhs:lunewp:2002_005 Save to MyIDEAS - Owyang, Michael T. & Ramey, Garey (2001): Regime Switching and Monetary Policy Measurement
This paper applies regime switching methods to the problem of measuring monetary policy. ... The estimates uncover policy episodes that are initiated by switches of "dove regimes," shown to Granger cause both NBER recessions and the Romer dates.
RePEc:cdl:ucsdec:qt24q32688 Save to MyIDEAS - Valerie K. Bostwick & Douglas G. Steigerwald (2014): Obtaining critical values for test of Markov regime switching
For Markov regime-switching models, a nonstandard test statistic must be used to test for the possible presence of multiple regimes. Carter and Steigerwald (2013, Journal of Econometric Methods 2: 25–34) derive the analytic steps needed to implement the Markov regime-switching test proposed by Cho and White (2007, Econometrica 75: 1671–1720). ... We then introduce a new command to compute regime-switching critical values, rscv, and present it in the context of empirical research.
RePEc:tsj:stataj:v:14:y:2014:i:3:p:481-498 Save to MyIDEAS - Huarng, Kun-Huang (2016): Identifying regime switches using causal recipes
This study proposes a new method to identify regime switches in a time series. ... The new method is unique in that the method examines causes for regime switches instead of outcome as in previous studies. ... Historical events validate the results, which demonstrate that the method successfully identifies regime switches.
RePEc:eee:jbrese:v:69:y:2016:i:4:p:1498-1502 Save to MyIDEAS - Shi, Yanlin & Ho, Kin-Yip (2015): Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model
Recent research argues that if the cause of confusion between long memory and regime switching were properly controlled for, they could be effectively distinguished. ... We firstly model long memory and regime switching via the Autoregressive Fractionally Integrated Moving Average (ARFIMA) and Markov Regime-Switching (MRS) models, respectively.
RePEc:eee:jbfina:v:61:y:2015:i:s2:p:s189-s204 Save to MyIDEAS - Denis Pelletier (2004): Regime Switching for Dynamic Correlations
We propose a new model for the variance between multiple time series, the Regime Switching Dynamic Correlation. We decompose the covariances into correlations and standard deviations and the correlation matrix follow a regime switching model; it is constant within a regime but different across regimes. The transitions between the regimes are governed by a Markov chain.
RePEc:ecm:nasm04:230 Save to MyIDEAS