Regime-Switching Models for Estimating Inflation Uncertainty

Regime Switching Models for Markets

Search for structure in the financial markets has recently become an active field of research by scientists from different areas of expertise. The Efficient-Market Hypothesis states that the markets reflect all publically available information within their price. This also means that no profit higher than the average market returns allow can be gained using only the price information. However, ...

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. We provide sufficient conditions for geometric ergodicity and existence of moments. Because of path dependence, maximum likelihood estimation is no...

Regime - Switching Models

Bayesian Markov Regime-Switching Models for Cointegration

This paper introduces a Bayesian Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over time. Unlike classical approaches for testing and modeling cointegration, the Bayesian Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable estima...

Regime-switching Pareto distributions for ACD models

Econometric literature on financial durations has been popularized by the introduction of the Autoregressive Conditional Duration model. In the latest years, a lot of refinements have been suggested. Following financial market microstructure arguments, it is argued that a Pareto distribution is a meaningful representation for durations. The model is analyzed under the hypothesis of regime-switc...