Bayesian estimation of switching ARMA models
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- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013.
"Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model,"
Working Papers
2013:17, Department of Economics, University of Venice "Ca' Foscari", revised 2014.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Papers No 8/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model," Working Paper 2013/20, Norges Bank.
- Yacouba Boubacar Maïnassara & Landy Rabehasaina, 2020. "Estimation of weak ARMA models with regime changes," Statistical Inference for Stochastic Processes, Springer, vol. 23(1), pages 1-52, April.
- Raggi, Davide & Bordignon, Silvano, 2012.
"Long memory and nonlinearities in realized volatility: A Markov switching approach,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3730-3742.
- S. Bordignon & D. Raggi, 2010. "Long memory and nonlinearities in realized volatility: a Markov switching approach," Working Papers 694, Dipartimento Scienze Economiche, Universita' di Bologna.
- Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016.
"Efficient Gibbs sampling for Markov switching GARCH models,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 37-57.
- Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
- Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
- John M. Maheu & Thomas H. McCurdy, 2002.
"Nonlinear Features of Realized FX Volatility,"
The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
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- Monfort, Alain & Vitale, Giovanni & Rüffer, Rasmus & Renne, Jean-Paul, 2003. "Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects," CEPR Discussion Papers 4119, C.E.P.R. Discussion Papers.
- Nima Nonejad, 2013. "Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008," CREATES Research Papers 2013-25, Department of Economics and Business Economics, Aarhus University.
- Jaehee Kim & Sooyoung Cheon, 2010. "A Bayesian regime‐switching time‐series model," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(5), pages 365-378, September.
- Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 30 Jan 2002.
- Francq, C. & Zakoian, J. -M., 2001.
"Stationarity of multivariate Markov-switching ARMA models,"
Journal of Econometrics, Elsevier, vol. 102(2), pages 339-364, June.
- Christian Francq & Jean-Michel Zakoïan, 2000. "Stationarity of Multivariate Markov-Switching ARMA Models," Working Papers 2000-32, Center for Research in Economics and Statistics.
- repec:zbw:bofrdp:2008_020 is not listed on IDEAS
- Dufays, A. & Rombouts, V., 2015. "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE 2015032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chang-Jin Kim & Jaeho Kim, 2013.
"Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks,"
Discussion Paper Series
1306, Institute of Economic Research, Korea University.
- Kim, Chang-Jin & Kim, Jaeho, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," MPRA Paper 51117, University Library of Munich, Germany.
- Castelnuovo, Efrem & Greco, Luciano & Raggi, Davide, 2008. "Estimating regime-switching Taylor rules with trend inflation," Research Discussion Papers 20/2008, Bank of Finland.
- Chao-Chun Chen & Wen-Jen Tsay, 2007. "Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton," IEAS Working Paper : academic research 07-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Maddalena Cavicchioli, 2021. "OLS Estimation of Markov switching VAR models: asymptotics and application to energy use," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(3), pages 431-449, September.
- Andreas Graflund, 2000. "A Bayes Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Econometric Society World Congress 2000 Contributed Papers 1363, Econometric Society.
- Paroli, Roberta & Spezia, Luigi, 2008. "Bayesian inference in non-homogeneous Markov mixtures of periodic autoregressions with state-dependent exogenous variables," Computational Statistics & Data Analysis, Elsevier, vol. 52(5), pages 2311-2330, January.
- Rosella Castellano & Luisa Scaccia, 2007. "Bayesian inference for Hidden Markov Model," Working Papers 43-2007, Macerata University, Department of Finance and Economic Sciences, revised Oct 2008.
- Constandina Koki & Loukia Meligkotsidou & Ioannis Vrontos, 2020. "Forecasting under model uncertainty: Non‐homogeneous hidden Markov models with Pòlya‐Gamma data augmentation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(4), pages 580-598, July.
- Billio Monica & Casarin Roberto, 2011. "Beta Autoregressive Transition Markov-Switching Models for Business Cycle Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-32, September.
- Castelnuovo, Efrem & Greco, Luciano & Raggi, Davide, 2008. "Estimating regime-switching Taylor rules with trend inflation," Bank of Finland Research Discussion Papers 20/2008, Bank of Finland.
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