This volume comprises four contributions on Markov switching models in empirical finance, and in portfolio choice and asset pricing models, volatility in discrete and continuous-time models, and missing-data imputation in nonstationary panel data models.
What does MS stand for?
MS stands for Markov Switching
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- Marine Safety
- Marine Science Technician
- Mariners (Seattle baseball team)
- Mario Sunshine (video game)
- Market Segmentation
- Market Share
- Market Surveillance
- Market Survey
- Marketing Society
- Marking Scheme (examinations)
Samples in periodicals archive:
We study time variations of the expected value premium using a two-state Markov switching model.
Gad Levanon provides his candidate by using Markov switching probabilities as independent variables in a probit analysis approach to forecasting the probabilities of recessions and of slowdowns.
Then, a bivariate Markov switching model (MSM) is employed to excess returns and a de facto exchange rate regime index-as these two variables are subject to regime shifts-to investigate how excess returns are linked to different de facto exchange rate regimes.
95 Finite Mixture and Markov Switching Models Sylvia Fruhwirth-Schnatter New York:Springer, 2006.
8100162 Keywords: EU, Central and Eastern Europe, CIS, early warning system, currency crisis, Markov switching 3EL Classifications: F47, P20, C22 INTRODUCTION The concept of early warning systems (EWS) has been connected with various methodologies.
A dynamic factor model with Markov switching (DFMS) is used to combine these macroeconomic series and to estimate probabilities of current business cycle phases for each of the G7 countries and for the aggregate G7 and OECD measures, which can be used as a warning system to monitor country-specific and international business cycles.
The topics include a chronological half-century empirical overview, user costs of risky monetary assets, an aggregate theory approach to determining exchange rates from monetary fundamentals, and a Markov switching factor approach to measurement error in monetary aggregates.