Business confidence and stock returns in the USA: a time-varying Markov regime-switching model

2011 ◽  
Vol 22 (4) ◽  
pp. 299-312 ◽  
Author(s):  
Emrah İ. Çevik ◽  
Turhan Korkmaz ◽  
Erdal Atukeren
Keyword(s):  
Stock Returns ◽  
Regime Switching ◽  
Time Varying ◽  
Markov Regime Switching ◽  
Regime Switching Model ◽  
Switching Model ◽  
The Usa ◽  
Business Confidence ◽  
Markov Regime Switching Model

scholarly journals A Markov Regime-Switching Model with Time-Varying Transition Probabilities for Identifying Asset Price Bubbles

2018 ◽  
Vol 10 (4) ◽  
pp. 1 ◽  
Author(s):  
Matthew L. Higgins ◽  
Frank Ofori-Acheampong
Keyword(s):  
Regime Switching ◽  
Transition Probabilities ◽  
Asset Price ◽  
Time Varying ◽  
Markov Regime Switching ◽  
Regime Switching Model ◽  
Switching Model ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
Markov Regime Switching Model

In this paper, a Markov regime-switching model with time-varying transition probabilities is developed to identify asset price bubbles in the S&P 500 index. The model nests two different methodologies; a state-dependent regime-switching model and a Markov regime-switching model. Three bubble regimes are identified; dormant, explosive, and collapsing. Time-varying transition probabilities are specified for each of the nine possible transitions in the Markov regime-switching model. Estimation of the model is done using conditional maximum likelihood with the Hamilton filter. Results show that transition probabilities depend significantly on trading volume and relative size of the bubble. Overall, the model works well in detecting multiple bubbles in the S&P 500 between January 1888 and May 2010. Explosive bubbles tend to immediately precede recession periods, while collapsing bubbles tend to coincide with recession periods.

Examining the Korean Inbound Tourism Market Cycle: A Markov Regime-Switching Model

2015 ◽  
Vol 20 (5) ◽  
pp. 551-557
Author(s):  
Ming-Hsiang Chen ◽  
Chien-Pang Lin ◽  
Ming-Chang Cheng ◽  
Jo-Hsin Yuan
Keyword(s):  
Regime Switching ◽  
Markov Regime Switching ◽  
Regime Switching Model ◽  
Switching Model ◽  
Inbound Tourism ◽  
Markov Regime Switching Model
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