Application of Regime-Switching Models of Time Series with Cubic Spline Transition Function

2004 ◽  
pp. 581-588
Author(s):  
Tomas Bognár ◽  
Jozef Komorník ◽  
Magda Komorníková
Keyword(s):  
Time Series ◽  
Regime Switching ◽  
Transition Function ◽  
Cubic Spline ◽  
Regime Switching Models ◽  
Switching Models

TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING

2000 ◽  
Vol 4 (4) ◽  
pp. 467-486 ◽  
Author(s):  
Eric Ghysels
Keyword(s):  
Time Series ◽  
Regime Switching ◽  
Transition Probabilities ◽  
Time Series Model ◽  
Time Series Models ◽  
Seasonal Cycles ◽  
Arma Processes ◽  
Regime Switching Models ◽  
Switching Models ◽  
Stochastic Properties

We present a class of stochastic regime-switching models. The time-series models may have periodic transition probabilities and the drifts may be seasonal. In the latter case, the model exhibits seasonal dummy variation that may change with the regime. The processes entail nontrivial interactions between so-called business and seasonal cycles. We discuss the stochastic properties as well as their relationship with periodic ARMA processes. Estimation and testing are also discussed in detail.

scholarly journals Testing of binary regime switching models using squeeze duration analysis

2019 ◽  
Vol 06 (01) ◽  
pp. 1950006
Author(s):  
Milan Kumar Das ◽  
Anindya Goswami
Keyword(s):  
Time Series ◽  
Regime Switching ◽  
Time Series Data ◽  
Statistical Technique ◽  
Series Data ◽  
Test Statistics ◽  
Model Assumption ◽  
Regime Switching Models ◽  
Switching Models ◽  
Markov Modulated

We have developed a statistical technique to test the model assumption of binary regime switching extension of the geometric Brownian motion (GBM) model by proposing a new discriminating statistics. Given a time series data, we have identified an admissible class of the regime switching candidate models for the statistical inference. By performing several systematic experiments, we have successfully shown that the sampling distribution of the test statistics differs drastically, if the model assumption changes from GBM to Markov modulated GBM, or to semi-Markov modulated GBM. Furthermore, we have implemented this statistics for testing the regime switching hypothesis with Indian sectoral indices.

scholarly journals Option Pricing and Hedging for Discrete Time Regime-Switching Models

2017 ◽  
Vol 08 (08) ◽  
pp. 1005-1032 ◽  
Author(s):  
Bruno Rémillard ◽  
Alexandre Hocquard ◽  
Hugo Lamarre ◽  
Nicolas Papageorgiou
Keyword(s):  
Option Pricing ◽  
Discrete Time ◽  
Regime Switching ◽  
Regime Switching Models ◽  
Switching Models ◽  
Time Regime
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