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Inflation Transmission Diagnostics via a Bayesian Graph Vector Autoregressive Model with Markov Switching
The transmission of inflation is a widespread occurrence, and managing inflationary pressures is a crucial macroeconomic challenge. Although...
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On the Markov-switching autoregressive stochastic volatility processes
Regime switching models are able to capture clustering effects, nonlinearities in time series and jumps in volatility. In the present paper, we...
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Robust and efficient specification tests in Markov-switching autoregressive models
This study develops two types of robust test statistics applicable to Markov-switching autoregressive models. The test statistics can be constructed...
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Predictive Control of Investment Portfolio on the Financial Market with Hidden Regime Switching and MS VAR Model of Returns
AbstractWe consider the problem of managing an investment portfolio in the financial market with switching of regimes taking into account...
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Regenerativity of Viterbi Process for Pairwise Markov Models
For hidden Markov models, one of the most popular estimates of the hidden chain is the Viterbi path—the path maximising the posterior probability. We...
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Systemic risk assessment of Lithuanian second-pillar pension funds through connectedness and spillover
Pension funds are an essential part of retirement planning, and their performance and risks play a significant role in ensuring financial stability...
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Automated Electricity Price Forecast Using Combined Models
AbstractWe investigate the problem of short-term prediction of the free market price for electricity using various types of forecast models. A...
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Attention Matters: An Exploration of Relationship Between Google Search Behaviors and Crude Oil Prices
Extant studies have suggested that Google search volume data can serve as a new and direct measure of investor attention in various research fields...
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Large Dynamic Covariance Matrix Estimation with an Application to Portfolio Allocation: A Semiparametric Reproducing Kernel Hilbert Space Approach
The estimation of high dimensional covariance matrices is an interesting and important research topic for many empirical time series problems such as...
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Foreign Trade Survey Data: Do They Help in Forecasting Exports and Imports?
Business survey, which starts from the microeconomic level, is a widely used short-term forecasting tool in practice. In this study, the authors...
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Coherence, Connectedness, Dynamic Linkages Among Oil and China’s Sectoral Commodities with Portfolio Implications
This paper investigates the time-frequency dependence, return and volatility connectedness, dynamic linkages, and portfolio diversification gains...
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Periodic autoregressive stochastic volatility
This paper proposes a stochastic volatility model (PAR-SV) in which the log-volatility follows a first-order periodic autoregression. This model aims...
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Multi-Period Models: Empirical Tests
This chapter is devoted to an extensive overview of the empirical evidence on classical asset pricing theory. In particular, the attention is focused...
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The Bellman–Harris Process
The Bellman–Harris branching process branching process Bellman-Harris is more general than the...
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General Deterministic IPM
This chapter is where the IPM really comes into its own as a flexible and parsimonious framework for populations with complex demography, meaning...
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Business Cycle Convergence: A Survey of Methods and Models
This survey provides an up-to-date summary of the literature that relates to the study of business cycle synchronization. Various paths have been...
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Functional coefficient autoregressive conditional root model
This paper proposes an extended model based on ACR model: Functional coefficient autoregressive conditional root model (FCACR). Under some...
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Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
In the paper, we study a problem of control with a predictive model for discrete systems with Markovian jumps and multiplicative noises. A strategy...
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Bayesian Inference for a Periodic Stochastic Volatility Model of Intraday Electricity Prices
The Gaussian stochastic volatility model is extended to allow for periodic autoregressions (PAR) in both the level and log-volatility process. Each...
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Efficient Stochastic Programming Techniques for Electricity Swing Options
We consider the valuation of contracts of electrical energy supply with optionalities. After discussing appropriate stochastic programming models and...