A Markov switching unobserved component analysis of the CDX index term premium

International Review of Financial Analysis ◽

10.1016/j.irfa.2016.01.020 ◽

2016 ◽

Vol 44 ◽

pp. 189-204 ◽

Author(s):

Giovanni Calice ◽

Christos Ioannidis ◽

RongHui Miao

Keyword(s):

Markov Switching ◽

Component Analysis ◽

Term Premium ◽

Unobserved Component

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A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium

SSRN Electronic Journal ◽

10.2139/ssrn.1776403 ◽

2010 ◽

Author(s):

Giovanni Calice ◽

Christos Ioannides ◽

Rong Hui Miao

Keyword(s):

Markov Switching ◽

Component Analysis ◽

Term Premium ◽

Unobserved Component

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Markov and Semi-Markov Switching of Source Appearances for Nonstationary Independent Component Analysis

IEEE Transactions on Neural Networks ◽

10.1109/tnn.2007.895829 ◽

2007 ◽

Vol 18 (5) ◽

pp. 1326-1342 ◽

Author(s):

Jun-ichiro Hirayama ◽

Shin-ichi Maeda ◽

Shin Ishii

Keyword(s):

Independent Component Analysis ◽

Markov Switching ◽

Component Analysis ◽

Independent Component

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A multivariate unobserved component analysis of US housing market

Journal of Economics and Finance ◽

10.1007/s12197-008-9027-5 ◽

2008 ◽

Vol 33 (1) ◽

pp. 13-26 ◽

Author(s):

Mohamadou L. Fadiga ◽

Yongsheng Wang

Keyword(s):

Housing Market ◽

Component Analysis ◽

Unobserved Component

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The predictive content of the term premium for GDP growth in Canada: Evidence from linear, Markov-switching and probit estimations

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2017.11.003 ◽

2018 ◽

Vol 44 ◽

pp. 80-91 ◽

Author(s):

Ronald Henry Lange

Keyword(s):

Markov Switching ◽

Term Premium ◽

Predictive Content

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Seasonality and Markov switching in an unobserved component time series model

Empirical Economics ◽

10.1007/s001810200136 ◽

2003 ◽

Vol 28 (2) ◽

pp. 365-386 ◽

Author(s):

Rob Luginbuhl ◽

Aart de Vos

Keyword(s):

Time Series ◽

Markov Switching ◽

Time Series Model ◽

Unobserved Component ◽

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Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors

Studies in Nonlinear Dynamics & Econometrics ◽

10.2202/1558-3708.1398 ◽

2010 ◽

Vol 14 (2) ◽

Author(s):

Byoung Hark Yoo

Keyword(s):

Markov Switching ◽

Markov Switching Model ◽

Switching Model ◽

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Unobserved-Component Time Series Models with Markov-Switching Heteroscedasticity: Changes in Regime and the Link between Inflation Rates and Inflation Uncertainty

Journal of Business and Economic Statistics ◽

10.2307/1391959 ◽

1993 ◽

Vol 11 (3) ◽

pp. 341 ◽

Author(s):

Chang-Jin Kim

Keyword(s):

Time Series ◽

Markov Switching ◽

Time Series Models ◽

Inflation Uncertainty ◽

Unobserved Component ◽

Inflation Rates ◽

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Bayesian Analysis of an Unobserved-Component Time Series Model of GDP with Markov-Switching and Time-Varying Growths

Journal of Business and Economic Statistics ◽

10.2307/1392402 ◽

1999 ◽

Vol 17 (4) ◽

pp. 456 ◽

Author(s):

Rob Luginbuhl ◽

Aart de Vos

Keyword(s):

Time Series ◽

Bayesian Analysis ◽

Markov Switching ◽

Time Series Model ◽

Time Varying ◽

Unobserved Component ◽

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Bayesian Analysis of an Unobserved-Component Time Series Model of GDP With Markov-Switching and Time-Varying Growths

Journal of Business and Economic Statistics ◽

10.1080/07350015.1999.10524833 ◽

1999 ◽

Vol 17 (4) ◽

pp. 456-465

Author(s):

Rob Luginbuhl ◽

Aart de Vos

Keyword(s):

Time Series ◽

Bayesian Analysis ◽

Markov Switching ◽

Time Series Model ◽

Time Varying ◽

Unobserved Component ◽

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Unobserved-Component Time Series Models With Markov-Switching Heteroscedasticity: Changes in Regime and the Link Between Inflation Rates and Inflation Uncertainty

Journal of Business and Economic Statistics ◽

10.1080/07350015.1993.10509962 ◽

1993 ◽

Vol 11 (3) ◽

pp. 341-349 ◽

Author(s):

Chang-Jin Kim

Keyword(s):

Time Series ◽

Markov Switching ◽

Time Series Models ◽

Inflation Uncertainty ◽

Unobserved Component ◽

Inflation Rates ◽

Download Full-text