A Ang, A Timmermann - Annu. Rev. Financ. Econ., 2012 - annualreviews.org
Regime-switching models can match the tendency of financial markets to often change their behavior abruptly and the phenomenon that the new behavior of financial variables often …
The impact that oil-market shocks have on stock prices in oil exporting countries has implications for both domestic and international investors. We derive the shocks driving oil …
W Zucchini, IL MacDonald - 2009 - taylorfrancis.com
Reveals How HMMs Can Be Used as General-Purpose Time Series ModelsImplements all methods in RHidden Markov Models for Time Series: An Introduction Using R applies …
Modelling based on finite mixture distributions is a rapidly developing area with the range of applications exploding. Finite mixture models are nowadays applied in such diverse areas …
D Harding, A Pagan - Journal of monetary economics, 2002 - Elsevier
Following Burns and Mitchell we define the cycle as a pattern in the level of aggregate economic activity. An algorithm to locate turning points is developed, as is a new measure of …
This paper surveys recent developments related to the smooth transition autoregressive (STAR) time series model and several of its variants. We put emphasis on new methods for …
The theoretical and empirical econometric literatures on long memory and regime switching have evolved largely independently, as the phenomena appear distinct. We argue, in …
A Ang, G Bekaert - Journal of Business & Economic Statistics, 2002 - Taylor & Francis
We examine the econometric performance of regime-switching models for interest rate data from the United States, Germany, and the United Kingdom. Regime-switching models …
JD Hamilton - Macroeconometrics and time series analysis, 2010 - Springer
Many economic time series occasionally exhibit dramatic breaks in their behaviour, associated with events such as financial crises (Jeanne and Masson, 2000; Cerra and …