A Markov-switching model in wind speed forecasting is examined in this research. The proposed method employs a regime switching process governed by a discrete-state Markov chain to model the nonlinear evolvement of the wind speed time-series. A Bayesian inference rather than the traditional...

This article attempts to simultaneously investigate different regimes in both mean and volatility of post-war US GDP growth using a four-regime Bayesian Markov switching model. Bayesian approach suffers from the label switching problem that leads to the failure of identifying regimes. We...

This paper examines a new time series method for very short-term wind speed forecasting. The time series forecasting model is based on Bayesian theory and structural break modeling, which could incorporate domain knowledge about wind speed as a prior. Besides this Bayesian structural break model...

We study the promoting effects of financial development on economic growth in China. We investigate the effects of developments in the banking, securities, and insurance sectors on the outputs of China's primary, secondary, and tertiary industries. Since China's provincial economic growth shows...

This paper develops a new Bayesian approach to structural break modeling. The focuses of the approach are the modeling of in-sample structural breaks and forecasting time series allowing out-of-sample breaks. The model has several desirable features. First, the number of regimes is not fixed but...

Over coming decades, changes in population age structure will have profound implications for the macroeconomy, influencing economic growth, generational equity, human capital, saving and investment, and the sustainability of public and private transfer systems. How the future unfolds will depend...

We propose three hypotheses regarding the effects of individual investors' attention on stock returns according to special features of China's stock market. We adopt the Baidu index as the proxy for individual investors' attention to stocks. Empirical tests of the three hypotheses are based on...

A stock market is traditionally considered to shift between bull and bear markets, reflecting the states of high mean and low mean in stock returns, respectively. In this paper, we attempt to detect more different states in a stock market by applying a Bayesian Markov switching model, where the...