This paper complements a recently published study (Janczura and Weron in AStA-Adv Stat Anal 96(3):385–407, <CitationRef CitationID="CR38">2012</CitationRef>) on efficient estimation of Markov regime-switching models. Here, we propose a new goodness-of-fit testing scheme for the marginal distribution of such models. We consider models...</citationref>

In this paper we discuss the calibration of models built on mean-reverting processes combined with Markov regime-switching (MRS). We propose a method that greatly reduces the computational burden induced by the introduction of independent regimes and perform a simulation study to test its...

In this paper we first analyze the stylized facts of electricity prices, in particular, the extreme volatility and price spikes which lead to heavy-tailed distributions of price changes. Then we calibrate Markov regime-switching (MRS) models with heavy-tailed components and show that they...

In this paper we first analyze the stylized facts of electricity prices, in particular, the extreme volatility and price spikes which lead to heavy-tailed distributions of price changes. Then we calibrate Markov regime-switching (MRS) models with heavy-tailed components and show that they...

In this paper, we modify a two-dimensional variant of a two-state nonlinear voter model and apply it to understand how new ideas, products or behaviors spread throughout the society in time. In particular, we want to find answers to two important questions in the field of diffusion of...