scholarly journals Time Varying Transition Probabilities for Markov Regime Switching Models

2014 ◽  
Author(s):  
Marco Bazzi ◽  
Francisco Blasques ◽  
Siem Jan Koopman ◽  
Andre Lucas
Keyword(s):  
Regime Switching ◽  
Transition Probabilities ◽  
Time Varying ◽  
Markov Regime Switching ◽  
Regime Switching Models ◽  
Switching Models

scholarly journals Time-Varying Transition Probabilities for Markov Regime Switching Models

2016 ◽  
Vol 38 (3) ◽  
pp. 458-478 ◽  
Author(s):  
Marco Bazzi ◽  
Francisco Blasques ◽  
Siem Jan Koopman ◽  
Andre Lucas
Keyword(s):  
Regime Switching ◽  
Transition Probabilities ◽  
Time Varying ◽  
Markov Regime Switching ◽  
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.

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