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Rating transitions forecasting : a filtering approach

Cousin, Areski; Lelong, Jérõme; Picard, Tom - In: International journal of theoretical and applied … 26 (2023) 2/3, pp. 1-53

Persistent link: https://www.econbiz.de/10014365676

Monetary and fiscal policy interactions in Nigeria : an application of a state-space model with Markov-switching

Chuku, Chuku Agbai - In: CBN journal of applied statistics 1 (2010) 1, pp. 39-51

This paper uses quarterly data to explore the monetary and fiscal policy interactions in Nigeria between 1970 and 2008. As a preliminary exercise, the paper examines the nature of fiscal policies in Nigeria using a vector autoregression (VAR) model. The simulated generalized impulse response...

Persistent link: https://www.econbiz.de/10011477833

Filtering persistent and asymmetric cycles

Donayre, Luiggi - In: The B.E. journal of macroeconomics 23 (2023) 1, pp. 473-495

Persistent link: https://www.econbiz.de/10013556558

Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model

Tan, Chia-Yen; Koh, You-Beng; Ng, Kok-Haur; Ng, Kooi-Huat - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012821468

Forecasting exchange rates : the multi-state Markov-switching model with smoothing

Yuan, Chunming - In: International review of economics & finance : IREF 20 (2011) 2, pp. 342-362

Persistent link: https://www.econbiz.de/10009304115

The exchange rate and macroeconomic determinants : time-varying transitional dynamics

Yuan, Chunming - In: The North American journal of economics and finance : a … 22 (2011) 2, pp. 197-220

Persistent link: https://www.econbiz.de/10009267527

A new approach to volatility modeling : the high-dimensional Markov Model

Augustyniak, Maciej; Bauwens, Luc; Dufays, Arnaud - 2016

Persistent link: https://www.econbiz.de/10011894434

Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model

Sugita, Katsuhiro - In: International journal of economics and finance 9 (2017) 3, pp. 49-56

Persistent link: https://www.econbiz.de/10011642177

Markov-switching three-pass regression filter

Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - 2017

Persistent link: https://www.econbiz.de/10011793192

Markov-switching three-pass regression filter

Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, … - 2016 - This version: November, 2016

Persistent link: https://www.econbiz.de/10011805831