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~isPartOf:"Studies in Nonlinear Dynamics & Econometrics"
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Search: subject:"Markov Regime-Switching"
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Markov regime switching
4
Forecast Evaluation
2
Forecasting
2
Markov Regime-Switching GARCH
2
Risk-management Value-at-Risk-based loss functions
2
Volatility
2
endogenous explanatory variables
2
ex post bias
2
expectations hypothesis
2
inflation
2
inflation expectations
2
instrumental variables
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maximum likelihood
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Undetermined
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Dahl, Christian
2
Hansen, Niels
2
Marcucci, Juri
2
Psaradakis, Zacharias
2
Sola, Martin
2
Spagnolo, Fabio
2
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Studies in Nonlinear Dynamics & Econometrics
MPRA Paper
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1
The Formation of Inflation Expectations under Changing Inflation Regimes
Dahl, Christian
;
Hansen, Niels
- In:
Studies in Nonlinear Dynamics & Econometrics
4
(
2007
)
4
,
pp. 183-212
represented by a two-state
Markov
regime-switching
model. It turns out that the real-time forecasts produced from this model …
Persistent link: https://www.econbiz.de/10004966095
Saved in:
2
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
Psaradakis, Zacharias
;
Sola, Martin
;
Spagnolo, Fabio
- In:
Studies in Nonlinear Dynamics & Econometrics
10
(
2007
)
2
,
pp. 1302-1302
This paper considers the problem of estimating
Markov
regime
switching
models with endogenous explanatory variables …. When the data-generating process for consumption is subject to
Markov
regime
switching
, the standard model for the term …
Persistent link: https://www.econbiz.de/10004966102
Saved in:
3
Forecasting Stock Market Volatility with Regime-Switching GARCH Models
Marcucci, Juri
- In:
Studies in Nonlinear Dynamics & Econometrics
9
(
2007
)
4
,
pp. 1145-1145
In this paper we compare a set of different standard GARCH models with a group of
Markov
Regime-Switching
GARCH (MRS …
Persistent link: https://www.econbiz.de/10004966275
Saved in:
4
Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates
Psaradakis, Zacharias
;
Sola, Martin
;
Spagnolo, Fabio
- In:
Studies in Nonlinear Dynamics & Econometrics
10
(
2006
)
2
,
pp. 1302-1302
This paper considers the problem of estimating
Markov
regime
switching
models with endogenous explanatory variables …. When the data-generating process for consumption is subject to
Markov
regime
switching
, the standard model for the term …
Persistent link: https://www.econbiz.de/10005579851
Saved in:
5
Forecasting Stock Market Volatility with Regime-Switching GARCH Models
Marcucci, Juri
- In:
Studies in Nonlinear Dynamics & Econometrics
9
(
2005
)
4
,
pp. 1145-1145
In this paper we compare a set of different standard GARCH models with a group of
Markov
Regime-Switching
GARCH (MRS …
Persistent link: https://www.econbiz.de/10005246316
Saved in:
6
The Formation of Inflation Expectations under Changing Inflation Regimes
Dahl, Christian
;
Hansen, Niels
- In:
Studies in Nonlinear Dynamics & Econometrics
4
(
2001
)
4
,
pp. 183-212
represented by a two-state
Markov
regime-switching
model. It turns out that the real-time forecasts produced from this model …
Persistent link: https://www.econbiz.de/10005246292
Saved in:
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