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A Nonparametric Bayesian Approach To Detect The Number Of Regimes In Markov Switching Models

Citations

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Cited by:

  1. Giancarlo Bruno & Edoardo Otranto, 2003. "Dating the Italian Business Cycle: A Comparison of Procedures," Econometrics 0312003, University Library of Munich, Germany.
  2. Rossi, Alessandro & Gallo, Giampiero M., 2006. "Volatility estimation via hidden Markov models," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 203-230, March.
  3. Christina Erlwein & Rogemar Mamon, 2009. "An online estimation scheme for a Hull–White model with HMM-driven parameters," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(1), pages 87-107, March.
  4. Colavecchio, Roberta & Funke, Michael, 2007. "Volatility dependence across Asia-Pacific on-shore and off-shore U.S.dollar futures markets," BOFIT Discussion Papers 17/2007, Bank of Finland Institute for Emerging Economies (BOFIT).
  5. Gallo, Giampiero M. & Otranto, Edoardo, 2015. "Forecasting realized volatility with changing average levels," International Journal of Forecasting, Elsevier, vol. 31(3), pages 620-634.
  6. Giampiero M. Gallo & Edoardo Otranto, 2007. "Volatility transmission across markets: a Multichain Markov Switching model," Applied Financial Economics, Taylor & Francis Journals, vol. 17(8), pages 659-670.
  7. Julyan Arbel & Riccardo Corradin & Bernardo Nipoti, 2021. "Dirichlet process mixtures under affine transformations of the data," Computational Statistics, Springer, vol. 36(1), pages 577-601, March.
  8. I.Fatnassi & S.Chawechi & Z.Ftiti & A.Ben Maatoug, 2014. "Effects of Monetary Policy on the REIT Returns," Working Papers 2014-63, Department of Research, Ipag Business School.
  9. E. Otranto, 2011. "Classification of Volatility in Presence of Changes in Model Parameters," Working Paper CRENoS 201113, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  10. Colavecchio, Roberta & Funke, Michael, 2009. "Volatility dependence across Asia-Pacific onshore and offshore currency forwards markets," Journal of Asian Economics, Elsevier, vol. 20(2), pages 174-196, March.
  11. Otranto, Edoardo, 2006. "Modelling the discrete and infrequent official interest rate change in the UK," DES - Working Papers. Statistics and Econometrics. WS ws062007, Universidad Carlos III de Madrid. Departamento de Estadística.
  12. Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2014. "Beta-product dependent Pitman–Yor processes for Bayesian inference," Journal of Econometrics, Elsevier, vol. 180(1), pages 49-72.
  13. Luca Scaffidi Domianello & Giampiero M. Gallo & Edoardo Otranto, 2024. "Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 21-43, February.
  14. Bäuerle Nicole & Gilitschenski Igor & Hanebeck Uwe, 2015. "Exact and approximate hidden Markov chain filters based on discrete observations," Statistics & Risk Modeling, De Gruyter, vol. 32(3-4), pages 159-176, December.
  15. Yong Song, 2014. "Modelling Regime Switching And Structural Breaks With An Infinite Hidden Markov Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 825-842, August.
  16. repec:ipg:wpaper:2014-063 is not listed on IDEAS
  17. Bruno, Giancarlo & Otranto, Edoardo, 2008. "Models to date the business cycle: The Italian case," Economic Modelling, Elsevier, vol. 25(5), pages 899-911, September.
  18. Silvestro Di Sanzo, 2009. "Testing for linearity in Markov switching models: a bootstrap approach," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(2), pages 153-168, July.
  19. L. Scaffidi Domianello & E. Otranto, 2023. "On the relationship between Markov Switching inference and Fuzzy Clustering: A Monte Carlo evidence," Working Paper CRENoS 202304, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  20. Giampiero M. Gallo & Edoardo Otranto, 2014. "Forecasting Realized Volatility with Changes of Regimes," Econometrics Working Papers Archive 2014_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
  21. Giampiero M. Gallo & Edoardo Otranto, 2018. "Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 67(3), pages 549-573, April.
  22. Nicole Bauerle & Igor Gilitschenski & Uwe D. Hanebeck, 2014. "Exact and Approximate Hidden Markov Chain Filters Based on Discrete Observations," Papers 1411.0849, arXiv.org, revised Dec 2014.
  23. Edoardo Otranto, 2005. "The multi-chain Markov switching model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(7), pages 523-537.
  24. JdD Tena & E. Otranto, 2008. "A Realistic Model for Official Interest Rates," Working Paper CRENoS 200802, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  25. Fatnassi, Ibrahim & Slim, Chaouachi & Ftiti, Zied & Ben Maatoug, Abderrazek, 2014. "Effects of monetary policy on the REIT returns: Evidence from the United Kingdom," Research in International Business and Finance, Elsevier, vol. 32(C), pages 15-26.
  26. Yong Song & Tomasz Wo'zniak, 2020. "Markov Switching," Papers 2002.03598, arXiv.org.
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