Last edited by Grolrajas
Monday, February 17, 2020 | History

3 edition of Advances in Markov-Switching Models found in the catalog.

Advances in Markov-Switching Models

Applications in Business Cycle Research and Finance (Studies in Empirical Economics)

by

  • 394 Want to read
  • 18 Currently reading

Published by Physica-Verlag Heidelberg .
Written in English

    Subjects:
  • Economics,
  • Stochastics,
  • Mathematics,
  • Mathematical models,
  • Markov Processes,
  • Business & Economics,
  • Medical / Nursing,
  • Science/Mathematics,
  • Probability & Statistics - General,
  • Economics - Macroeconomics,
  • Economics - Microeconomics,
  • General,
  • Business & Economics / Macroeconomics,
  • Business Cycles,
  • Monetary policy

  • Edition Notes

    ContributionsJames D. Hamilton (Editor), Baldev Raj (Editor)
    The Physical Object
    FormatHardcover
    Number of Pages267
    ID Numbers
    Open LibraryOL9103977M
    ISBN 103790815152
    ISBN 109783790815153

    This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. Abstract This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The model is an autoregressive model of order 4 in which the mean of the process switches between two regimes. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices.

    Because of the random nature of the search, we seed the random number generator beforehand to allow replication of the result. The final prices may differ from the prices shown due to specifics of VAT rules About this book Nonlinear models have been used extensively in the areas of economics and finance. Under the hood, good starting parameters are found using a number of steps of the expectation maximization EM algorithm, and a quasi-Newton BFGS algorithm is applied to quickly find the maximum. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. It applies the Hamilton filter the Kim smoother. Variable: y No.

    Keywords Business cycles Finance Markov-switching econometrics forecasting regime-switching Editors and affiliations. He was a visiting scholar at Norges Bank the central bank of Norway and has been invited to present his research work at central banks and universities, including Norges Bank, Federal Reserve Bank of St. Please note that corrections may take a couple of weeks to filter through the various RePEc services. Below we plot the probabilities of being in each of the regimes; only in a few periods is a high-variance regime probable. Hamilton Regrettably, at this time we do not have any information regarding the particular artisan James D. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features.


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Advances in Markov-Switching Models Download PDF Ebook

Abstract This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. James D. Hamilton Regrettably, at this time we Advances in Markov-Switching Models book not have any information regarding the particular artisan James D.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Elaine Clokey. Free shipping for individuals worldwide Usually dispatched within 3 to 5 business days. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance.

A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology.

A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. This kind of guidance can certainly make people additional Usa!

We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.

Download The Gravity Model in International Trade: Advances and Applications Ebook Online

Meta for "Markov switching autoregression models". Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. Below we plot the smoothed probability of the economy operating in a low-production state, and again include the NBER recessions for comparison.

In particular, we will analyze the Federal Funds Rate. Filardo Time-Varying Transition Probabilities Markov switching autoregression models This notebook provides an example of the use of Markov switching models in Statsmodels to replicate a number of results presented in Kim and Nelson A concluding chapter offers useful new results Advances in Markov-Switching Models book testing for this kind of regime-switching behaviour.

Basically, "freedom of speech" Many of us totally helped. It is significant for us that most genuine about James D. We thank you beforehand if Advances in Markov-Switching Models book are ready to head over to satisfy all of us!

The introduction surveys the existing methods and new results of the last decade. We have every one of the examine, of course, if all the details tend to be correct, we shall post on the site. If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item.

Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this PDF kind of regime-switching behaviour.

Let's see it work Let's look at mean changes across regimes. The introduction surveys the existing methods and new results of the last decade.

The Federal Funds Rate is the interest rate that the central bank of the U. Otherwise, the model is the same Markov autoregression of Hamilton Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics.

Ones opinions to lease Advances in Markov-switching Models: Applications in Business Cycle Research and Finance : additional readers are able to determine in regards to guide. He has received many awards for research excellence. The individual contributions cover new Advances in Markov-switching models with applications to business cycle research and finance.

More services and features. Mouseover for Online Attention Data Overview Praise Summary Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance.This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis.

Recent Advances in Estimating Nonlinear Models

The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. Markov-switching models are not limited to two regimes, although two-regime models are common.

In the example above, we described the switching as being abrupt; the probability instantly changed. Such Markov models are called dynamic models.

Markov models can also accommodate smoother changes by modeling the transition probabilities Advances in Markov-Switching Models book an.

Disequilibrium models [e.g., Fair & Jaffee ()] are a case in point. The second category embraces several popular models that do nest a linear model. The switching regression model, various Markov-switching models, and the smooth transition regression model are examples of Cited by: Regime switching models A potentially useful pdf to pdf non-linearities in time series is to assume di®erent behavior (structural break) in one subsample (or regime) to another.

If the dates of the regimes switches are known, modeling can be worked out with dummy variables. For exam-ple, consider the following regression model yt.This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis.

The individual contributions cover new Advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys .Free PDF Ebook Books by James D.

Hamilton. This book surveys new advances in Markov-switching models with applications to business cycle research and finance. The extensive editors' introduction su.