Academic literature on the topic 'Markov Switching'
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Journal articles on the topic "Markov Switching"
Liu, Ji-Chun. "INTEGRATED MARKOV-SWITCHING GARCH PROCESS." Econometric Theory 25, no. 5 (2009): 1277–88. http://dx.doi.org/10.1017/s0266466608090506.
Full textGuérin, Pierre, and Massimiliano Marcellino. "Markov-Switching MIDAS Models." Journal of Business & Economic Statistics 31, no. 1 (2013): 45–56. http://dx.doi.org/10.1080/07350015.2012.727721.
Full textHuang, Yu-Lieh. "Testing Markov switching models." Applied Economics 46, no. 17 (2014): 2047–51. http://dx.doi.org/10.1080/00036846.2014.892201.
Full textLiu, Xiaochun. "Markov switching quantile autoregression." Statistica Neerlandica 70, no. 4 (2016): 356–95. http://dx.doi.org/10.1111/stan.12091.
Full textHou, Zhenting, Hailing Dong, and Peng Shi. "Asymptotic stability in the distribution of nonlinear stochastic systems with semi-Markovian switching." ANZIAM Journal 49, no. 2 (2007): 231–41. http://dx.doi.org/10.1017/s1446181100012803.
Full textELLIOTT, ROBERT J., TAK KUEN SIU, and LEUNGLUNG CHAN. "OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING." International Journal of Theoretical and Applied Finance 09, no. 06 (2006): 825–41. http://dx.doi.org/10.1142/s0219024906003846.
Full textSun, Zhongyang, Isabelle Kemajou-Brown, and Olivier Menoukeu-Pamen. "A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications." ESAIM: Control, Optimisation and Calculus of Variations 24, no. 3 (2018): 985–1013. http://dx.doi.org/10.1051/cocv/2017039.
Full textNunian, Mohd Azizi Amin, Siti Meriam Zahari, and S. Sarifah Radiah Shariff. "Modelling foreign exchange rates: a comparison between markov-switching and markov-switching GARCH." Indonesian Journal of Electrical Engineering and Computer Science 20, no. 2 (2020): 917. http://dx.doi.org/10.11591/ijeecs.v20.i2.pp917-923.
Full textFuh, Cheng-Der, Kwok Wah Remus Ho, Inchi Hu, and Ren-Her Wang. "Option Pricing with Markov Switching." Journal of Data Science 10, no. 3 (2021): 483–509. http://dx.doi.org/10.6339/jds.201207_10(3).0008.
Full textPetričková, Anna. "Moments of Markov-Switching Models." Tatra Mountains Mathematical Publications 61, no. 1 (2014): 131–40. http://dx.doi.org/10.2478/tmmp-2014-0032.
Full textDissertations / Theses on the topic "Markov Switching"
Blagov, Boris [Verfasser], and Michael [Akademischer Betreuer] Funke. "Four Essays on Markov-Switching DSGE and Markov-Switching VAR Models / Boris Blagov. Betreuer: Michael Funke." Hamburg : Staats- und Universitätsbibliothek Hamburg, 2016. http://d-nb.info/1103233408/34.
Full textMazali, Rogério. "Improving mutual fund market timing measures: a markov switching approach." reponame:Repositório Institucional do FGV, 2001. http://hdl.handle.net/10438/55.
Full textKoh, You Beng, and 辜有明. "Bayesian analysis in Markov regime-switching models." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48521644.
Full textSantos, João Ramiro Rodrigues Simões dos. "Credit cycle identification: A Markov-switching application." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11723.
Full textKaradag, Mehmet Ali. "Analysis Of Turkish Stock Market With Markov Regime Switching Volatility Models." Master's thesis, METU, 2008. http://etd.lib.metu.edu.tr/upload/3/12609787/index.pdf.
Full textHrabovska, Yevheniia <1994>. "A Markov-Switching Model for Bubble Detection in the Stock Market." Master's Degree Thesis, Università Ca' Foscari Venezia, 2017. http://hdl.handle.net/10579/10797.
Full textHumala, Acuña Alberto. "Markov switching modelling of interest rate pass-through." Thesis, University of Warwick, 2005. http://wrap.warwick.ac.uk/34676/.
Full textCheng, Jie. "An Extended Class of Markov Switching Autoregressive Models." Thesis, University of Manchester, 2009. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.508540.
Full textDutra, Livia Maria. "Exact Bayesian inference for Markov switching Cox processes." Universidade Federal de Minas Gerais, 2015. http://hdl.handle.net/1843/BUBD-9WGFNQ.
Full textFan, Qianzhu. "Stochastic heat equations with Markovian switching." Thesis, University of Manchester, 2017. https://www.research.manchester.ac.uk/portal/en/theses/stochastic-heat-equations-with-markovian-switching(8958d026-671e-4c63-a639-b4a7b120a968).html.
Full textBooks on the topic "Markov Switching"
Krolzig, Hans-Martin. Markov-Switching Vector Autoregressions. Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-642-51684-9.
Full textHamilton, James D., and Baldev Raj, eds. Advances in Markov-Switching Models. Physica-Verlag HD, 2002. http://dx.doi.org/10.1007/978-3-642-51182-0.
Full textTimmermann, Allan. Moments of Markov switching models. London School of Economics, Financial Markets Group, 1999.
Find full textGable, Jeff. Analytical derivatives of Markov switching models. Bank of Canada, 1995.
Find full textGable, Jeff. Analytical derivatives for Markov switching models. Publications Distribution, Bank of Canada, 1995.
Find full textChang-Jin, Kim. Dynamic linear models with Markov-switching. York University, Dept. of Economics, 1991.
Find full textChauvet, Marcelle. Markov switching in disaggregate unemployment rates. Federal Reserve Bank of New York, 2001.
Find full textCanada, Bank of. Switching between chartists and fundamentalists: A Markov Regime-Switching approach. Bank of Canada, 1996.
Find full textVigfusson, Robert. Switching between chartists and fundamentalists: A Markov regime-switching approach. Bank of Canada, 1996.
Find full textChang-Jin, Kim. Estimation of Markov regime-switching regression models with endogenous switching. Federal Reserve Bank of St. Louis, 2003.
Find full textBook chapters on the topic "Markov Switching"
Mizrach, Bruce, and James Watkins. "A Markov Switching Cookbook." In Dynamic Modeling and Econometrics in Economics and Finance. Springer US, 1999. http://dx.doi.org/10.1007/978-1-4615-5129-4_2.
Full textCasarin, Roberto, Radu Craiu, and Qing Wang. "Markov Switching Tensor Regressions." In Contributions to Statistics. Springer Nature Switzerland, 2025. https://doi.org/10.1007/978-3-031-92383-8_14.
Full textCocozza-Thivent, Christiane. "Switching Processes." In Markov Renewal and Piecewise Deterministic Processes. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-70447-6_10.
Full textYushkevich, A. A. "Optimal Switching Problem for Markov Chains." In Markov Processes and Controlled Markov Chains. Springer US, 2002. http://dx.doi.org/10.1007/978-1-4613-0265-0_15.
Full textChauvet, Marcelle, and Yanpin Su. "Nonstationarities and Markov Switching Models." In Recent Advances in Estimating Nonlinear Models. Springer New York, 2013. http://dx.doi.org/10.1007/978-1-4614-8060-0_7.
Full textFabbrini, Viola, Massimo Guidolin, and Manuela Pedio. "Results from Markov Switching Models." In Transmission Channels of Financial Shocks to Stock, Bond, and Asset-Backed Markets: An Empirical Model. Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1007/978-1-137-56139-8_5.
Full textChauvet, Marcelle, Chinhui Juhn, and Simon Potter. "Markov switching in disaggregate unemployment rates." In Advances in Markov-Switching Models. Physica-Verlag HD, 2002. http://dx.doi.org/10.1007/978-3-642-51182-0_4.
Full textYamaka, Woraphon, Paravee Maneejuk, and Songsak Sriboonchitta. "Markov Switching Beta-skewed-t EGARCH." In Lecture Notes in Computer Science. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-14815-7_16.
Full textKrolzig, Hans-Martin. "The Markov-Switching Vector Autoregressive Model." In Lecture Notes in Economics and Mathematical Systems. Springer Berlin Heidelberg, 1997. http://dx.doi.org/10.1007/978-3-642-51684-9_2.
Full textLu, Hsin-Min, Daniel Zeng, and Hsinchun Chen. "Markov Switching Models for Outbreak Detection." In Infectious Disease Informatics and Biosurveillance. Springer US, 2010. http://dx.doi.org/10.1007/978-1-4419-6892-0_6.
Full textConference papers on the topic "Markov Switching"
You, Kok Yeow, Man Seng Sim, Kim Yee Lee, Ee Meng Cheng, Cheng Seong Khe, and Fahmiruddin Bin Esa. "Simple MATLAB-Based App for Markov-Switching Land Mobile Satellite Channel." In 2024 IEEE International Conference on Advanced Telecommunication and Networking Technologies (ATNT). IEEE, 2024. http://dx.doi.org/10.1109/atnt61688.2024.10719054.
Full textHu, Meng-Jie, Ju H. Park, and Jun Cheng. "Fault Detection Filtering for Unmanned Surface Vehicles with Markov Switching and Random Packet Losses." In 2024 IEEE International Conference on Systems, Man, and Cybernetics (SMC). IEEE, 2024. https://doi.org/10.1109/smc54092.2024.10830946.
Full textWang, Bing. "The Design of Master-Slave Control System Structure and Switching Method Based on Markov Process." In 2024 International Conference on Sensing, Measurement & Data Analytics in the era of Artificial Intelligence (ICSMD). IEEE, 2024. https://doi.org/10.1109/icsmd64214.2024.10920526.
Full textTang, Xiaobin. "Research on Markov-Switching model." In 2011 International Conference on Multimedia Technology (ICMT). IEEE, 2011. http://dx.doi.org/10.1109/icmt.2011.6002578.
Full textCuesta-Infante, Alfredo, and Kalyan Veeramachaneni. "Markov Switching Copula Models for Longitudinal Data." In 2016 IEEE 16th International Conference on Data Mining Workshops (ICDMW). IEEE, 2016. http://dx.doi.org/10.1109/icdmw.2016.0159.
Full textShih, Yi-Chun, Wen-Tsung Huang, and Pao-Peng Hsu. "Bitcoin Cycle through Markov Regime-Switching Model." In IEEE ICEIB 2024. MDPI, 2024. http://dx.doi.org/10.3390/engproc2024074012.
Full textVardanyan, Yelena, and Mohammad Reza Hesamzadeh. "Modeling regime switching in day-ahead market prices using Markov model." In 2016 IEEE PES Innovative Smart Grid Technologies Conference Europe (ISGT-Europe). IEEE, 2016. http://dx.doi.org/10.1109/isgteurope.2016.7856316.
Full textZaky, Ahmed Bayoumy, and Walid Gomaa. "Car following regime taxonomy based on Markov switching." In 2014 IEEE 17th International Conference on Intelligent Transportation Systems (ITSC). IEEE, 2014. http://dx.doi.org/10.1109/itsc.2014.6957871.
Full textLemos, J. M., L. M. Rato, and J. S. Marques. "Switching reconfigurable control based on hidden Markov models." In 1999 European Control Conference (ECC). IEEE, 1999. http://dx.doi.org/10.23919/ecc.1999.7099375.
Full textWai, Phoong Seuk, Mohd Tahir Ismail, and Sek Siok Kun. "Gold price effect on stock market: A Markov switching vector error correction approach." In PROCEEDINGS OF THE 3RD INTERNATIONAL CONFERENCE ON MATHEMATICAL SCIENCES. AIP Publishing LLC, 2014. http://dx.doi.org/10.1063/1.4882604.
Full textReports on the topic "Markov Switching"
Kim, Chang-Jin, Jeremy M. Piger, and Richard Startz. Estimation of Markov Regime-Switching Regression Models with Endogenous Switching. Federal Reserve Bank of St. Louis, 2003. http://dx.doi.org/10.20955/wp.2003.015.
Full textFarmer, Roger E. A., Tao Zha, and Daniel Waggoner. Understanding Markov-Switching Rational Expectations Models. National Bureau of Economic Research, 2009. http://dx.doi.org/10.3386/w14710.
Full textNelson, Charles R., Jeremy M. Piger, and Eric Zivot. Markov Regime Switching and Unit Root Tests. Federal Reserve Bank of St. Louis, 2001. http://dx.doi.org/10.20955/wp.2001.013.
Full textFoerster, Andrew, Juan Rubio-Ramírez, Daniel Waggoner, and Tao Zha. Perturbation Methods for Markov-Switching DSGE Models. National Bureau of Economic Research, 2014. http://dx.doi.org/10.3386/w20390.
Full textEngel, Charles. Can the Markov Switching Model Forecast Exchange Rates? National Bureau of Economic Research, 1992. http://dx.doi.org/10.3386/w4210.
Full textLubis, Iman. PENDEKATAN MODEL MARKOV SWITCHING PADA PASAR MODAL INDONESIA. Jurnal Madani: Ilmu Pengetahuan, Teknologi, dan Humaniora, 2018. http://dx.doi.org/10.33753/madani.v1i2.22.
Full textDueker, Michael J. Markov Switching in GARCH Processes and Mean Reverting Stock Market Volatility. Federal Reserve Bank of St. Louis, 1994. http://dx.doi.org/10.20955/wp.1994.015.
Full textNeely, Christopher J., and Michael J. Dueker. Can Markov Switching Models Predict Excess Foreign Exchange Returns? Federal Reserve Bank of St. Louis, 2001. http://dx.doi.org/10.20955/wp.2001.021.
Full textOwyang, Michael T., Christopher H. Wheeler, Jeremy M. Piger, and Howard J. Wall. The Economic Performance of Cities: A Markov-Switching Approach. Federal Reserve Bank of St. Louis, 2006. http://dx.doi.org/10.20955/wp.2006.056.
Full textMisas A., Martha, and María Teresa Ramírez-Giraldo. Colombian economic growth under Markov switching regimes with endogenous transition probabilities. Banco de la República, 2006. http://dx.doi.org/10.32468/be.425.
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