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Markov-switching models and the unit root hypothesis in real US GDP

Camacho, Maximo - In: Economics letters 112 (2011) 2, pp. 161-164

Persistent link: https://www.econbiz.de/10009243365

Mixed-frequency VAR models with Markov-switching dynamics

Camacho, Maximo - In: Economics letters 121 (2013) 3, pp. 369-373

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Model averaging in Markov-switching models : predicting national recessions with regional data

Guérin, Pierre; Leiva-Leon, Danilo - In: Economics letters 157 (2017), pp. 45-49

Persistent link: https://www.econbiz.de/10011847300

Clustering regional business cycles

Gadea, María Dolores; Gómez-Loscos, Ana; Bandrés, Eduardo - In: Economics letters 162 (2018), pp. 171-176

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Detecting unemployment hysteresis : a simultaneous unobserved components model with Markov switching

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Asset allocation with recursive parameter updating and macroeconomic regime identifiers

Goodarzi, Milad; Meinerding, Christoph - 2023 - December 12, 2022

This article studies long-horizon dynamic asset allocation strategies with recursive parameter updating. The parameter estimates for the regime-switching dynamics vary as more and more datapoints are observed and the sample size increases. In such a setting, the globally optimal portfolio...