Factor stochastic volatility with time varying loadings and Markov switching regimes

Journal of Statistical Planning and Inference ◽

10.1016/j.jspi.2006.06.047 ◽

2007 ◽

Vol 137 (10) ◽

pp. 3082-3091 ◽

Author(s):

Hedibert Freitas Lopes ◽

Carlos Marinho Carvalho

Keyword(s):

Stochastic Volatility ◽

Markov Switching ◽

Time Varying ◽

Switching Regimes

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(Re)correlation: A Markov Switching Multifractal Model with Time Varying Correlations

SSRN Electronic Journal ◽

10.2139/ssrn.1580075 ◽

2009 ◽

Author(s):

Julien Idier

Keyword(s):

Markov Switching ◽

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Estimating Time-Varying Parameter Models with Stochastic Volatility: An Application to Inflation Forecasting

SSRN Electronic Journal ◽

10.2139/ssrn.3236806 ◽

2018 ◽

Author(s):

Douglas E. Turatti

Keyword(s):

Stochastic Volatility ◽

Time Varying ◽

Inflation Forecasting ◽

Time Varying Parameter

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Estimating the Natural Interest Rate Using Large Bayesian Time-Varying Local Mean Vector Autoregression with a Common Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.3539046 ◽

2019 ◽

Author(s):

Bowen Fu

Keyword(s):

Interest Rate ◽

Stochastic Volatility ◽

Vector Autoregression ◽

Time Varying ◽

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Dynamic Volatility Modelling of Bitcoin Using Time-Varying Transition Probability Markov-Switching GARCH Model

SSRN Electronic Journal ◽

10.2139/ssrn.3573537 ◽

2020 ◽

Author(s):

Chia Yen Tan ◽

you beng koh ◽

Kok Haur Ng ◽

Kooi Huat Ng

Keyword(s):

Transition Probability ◽

Markov Switching ◽

Garch Model ◽

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Time-varying co-movement analysis between COVID-19 shocks and the energy markets using the Markov Switching Dynamic Copula approach

Energy Reports ◽

10.1016/j.egyr.2021.05.076 ◽

2021 ◽

Author(s):

Paravee Maneejuk ◽

Sukrit Thongkairat ◽

Wilawan Srichaikul

Keyword(s):

Markov Switching ◽

Movement Analysis ◽

Energy Markets ◽

Time Varying ◽

Dynamic Copula ◽

Copula Approach ◽

Switching Dynamic

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Bayesian Model Comparison for Time-Varying Parameter VARs with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.2642091 ◽

2015 ◽

Author(s):

Joshua C. C. Chan ◽

Eric Eisenstat

Keyword(s):

Stochastic Volatility ◽

Bayesian Model ◽

Model Comparison ◽

Time Varying ◽

Bayesian Model Comparison ◽

Time Varying Parameter

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Estimating a Taylor Rule with Markov Switching Regimes for Switzerland

Swiss Journal of Economics and Statistics ◽

10.1007/bf03399280 ◽

2009 ◽

Vol 145 (2) ◽

pp. 187-220 ◽

Author(s):

Alexander Perruchoud

Keyword(s):

Taylor Rule ◽

Markov Switching ◽

Switching Regimes

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Bayesian model comparison for time‐varying parameter VARs with stochastic volatility

Journal of Applied Econometrics ◽

10.1002/jae.2617 ◽

2018 ◽

Vol 33 (4) ◽

pp. 509-532 ◽

Author(s):

Joshua C. C. Chan ◽

Eric Eisenstat

Keyword(s):

Stochastic Volatility ◽

Bayesian Model ◽

Model Comparison ◽

Time Varying ◽

Bayesian Model Comparison ◽

Time Varying Parameter

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Volatility forecasting revisited using Markov‐switching with time‐varying probability transition

International Journal of Finance & Economics ◽

10.1002/ijfe.2221 ◽

2020 ◽

Author(s):

Jiqian Wang ◽

Feng Ma ◽

Chao Liang ◽

Zhonglu Chen

Keyword(s):

Markov Switching ◽

Time Varying ◽

Volatility Forecasting

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Dynamic shrinkage in time‐varying parameter stochastic volatility in mean models

Journal of Applied Econometrics ◽

10.1002/jae.2804 ◽

2021 ◽

Author(s):

Florian Huber ◽

Michael Pfarrhofer

Keyword(s):

Stochastic Volatility ◽

Time Varying ◽

Time Varying Parameter

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