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Modelling Regime Switching and Structural Breaks with an Infinite Hidden Markov Model

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  1. Chen, Yiyang & Mamon, Rogemar & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "Renewable energy and economic growth: A Markov-switching approach," Energy, Elsevier, vol. 244(PB).
  2. Jia Liu & John M. Maheu & Yong Song, 2024. "Identification and forecasting of bull and bear markets using multivariate returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 723-745, August.
  3. Smith, Simon C., 2017. "Equity premium estimates from economic fundamentals under structural breaks," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 49-61.
  4. Fisher, Mark & Jensen, Mark J., 2019. "Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors," Journal of Econometrics, Elsevier, vol. 210(1), pages 187-202.
  5. Maheu, John M. & Yang, Qiao, 2016. "An infinite hidden Markov model for short-term interest rates," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 202-220.
  6. Min Jeong Kim & Dohyoung Kwon, 2023. "Dynamic asset allocation strategy: an economic regime approach," Journal of Asset Management, Palgrave Macmillan, vol. 24(2), pages 136-147, March.
  7. Hou, Chenghan, 2017. "Infinite hidden markov switching VARs with application to macroeconomic forecast," International Journal of Forecasting, Elsevier, vol. 33(4), pages 1025-1043.
  8. Jin, Xin & Maheu, John M., 2016. "Bayesian semiparametric modeling of realized covariance matrices," Journal of Econometrics, Elsevier, vol. 192(1), pages 19-39.
  9. Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017. "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 162-182, April.
  10. Luo, Jiawen & Ji, Qiang & Klein, Tony & Todorova, Neda & Zhang, Dayong, 2020. "On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks," Energy Economics, Elsevier, vol. 89(C).
  11. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
  12. Kaihatsu, Sohei & Nakajima, Jouchi, 2018. "Has trend inflation shifted?: An empirical analysis with an equally-spaced regime-switching model," Economic Analysis and Policy, Elsevier, vol. 59(C), pages 69-83.
  13. Luo, Jiawen & Klein, Tony & Ji, Qiang & Hou, Chenghan, 2022. "Forecasting realized volatility of agricultural commodity futures with infinite Hidden Markov HAR models," International Journal of Forecasting, Elsevier, vol. 38(1), pages 51-73.
  14. Luo, Jiawen & Demirer, Riza & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil and gold volatilities with sentiment indicators under structural breaks," Energy Economics, Elsevier, vol. 105(C).
  15. Didier Nibbering & Richard Paap & Michel van der Wel, 2016. "A Bayesian Infinite Hidden Markov Vector Autoregressive Model," Tinbergen Institute Discussion Papers 16-107/III, Tinbergen Institute, revised 13 Oct 2017.
  16. Jia Liu & John M. Maheu, 2018. "Improving Markov switching models using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 297-318, April.
  17. Juergen Amann & Paul Middleditch, 2017. "Growth in a time of austerity: evidence from the UK," Scottish Journal of Political Economy, Scottish Economic Society, vol. 64(4), pages 349-375, September.
  18. Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.
  19. Chenxing Li & John M. Maheu & Qiao Yang, 2024. "An infinite hidden Markov model with stochastic volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 2187-2211, September.
  20. Ozdemir, Dicle, 2019. "Sectoral Business Cycle Asymmetries and Regime Shifts: Evidence from Turkey," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 26(2), December.
  21. Griffin, Jim E. & Mitrodima, Gelly, 2020. "A Bayesian quantile time series model for asset returns," LSE Research Online Documents on Economics 105610, London School of Economics and Political Science, LSE Library.
  22. Sergei Seleznev, 2019. "Truncated priors for tempered hierarchical Dirichlet process vector autoregression," Bank of Russia Working Paper Series wps47, Bank of Russia.
  23. Hwu Shih-Tang & Kim Chang-Jin, 2024. "Markov-Switching Models with Unknown Error Distributions: Identification and Inference Within the Bayesian Framework," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(2), pages 177-199, April.
  24. Jin, Xin & Maheu, John M. & Yang, Qiao, 2022. "Infinite Markov pooling of predictive distributions," Journal of Econometrics, Elsevier, vol. 228(2), pages 302-321.
  25. Luo, Deqing & Pang, Tao & Xu, Jiawen, 2021. "Forecasting U.S. Yield Curve Using the Dynamic Nelson–Siegel Model with Random Level Shift Parameters," Economic Modelling, Elsevier, vol. 94(C), pages 340-350.
  26. DESCHAMPS, Philippe J., 2016. "Bayesian Semiparametric Forecasts of Real Interest Rate Data," LIDAM Discussion Papers CORE 2016050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  27. Cross, Jamie L. & Hou, Chenghan & Nguyen, Bao H., 2021. "On the China factor in the world oil market: A regime switching approach11We thank Hilde Bjørnland, Tatsuyoshi Okimoto, Ippei Fujiwara, Knut Aastveit, Leif Anders Thorsrud, Francesco Ravazzolo, Renee ," Energy Economics, Elsevier, vol. 95(C).
  28. Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song, 2021. "Sparse change‐point VAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 703-727, September.
  29. Urbi Garay & Enrique Ter Horst & German Molina & Abel Rodriguez, 2016. "Bayesian Nonparametric Measurement of Factor Betas and Clustering with Application to Hedge Fund Returns," Econometrics, MDPI, vol. 4(1), pages 1-23, March.
  30. Simon C. Smith, 2020. "Equity premium prediction and structural breaks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 412-429, July.
  31. Samet G nay, 2015. "Markov Regime Switching Generalized Autoregressive Conditional Heteroskedastic Model and Volatility Modeling for Oil Returns," International Journal of Energy Economics and Policy, Econjournals, vol. 5(4), pages 979-985.
  32. Hou, Chenghan & Nguyen, Bao H., 2018. "Understanding the US natural gas market: A Markov switching VAR approach," Energy Economics, Elsevier, vol. 75(C), pages 42-53.
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