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Predicting Markov-Switching Vector Autoregressive Processes
16 references·13 citing·38 second hop
Predicting Markov-Switching Vector Autoregressive Processes (2000)Predicting Markov-Switching Vector Autore…Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Investigating Causal Relation…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Why do regime-switching models forecast so badly? (1999)Why do regime-switching model…Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching (1998)Business Cycle Turning Points…A comparison of the forecast performance of Markov‐switching and threshold autoregressive models of US GNP (1998)A comparison of the forecast …Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis (1997)Markov-Switching Vector Autor…Markov-Switching Vector Autoregressions (1997)Markov-Switching Vector Autor…A floor and ceiling model of US output (1997)A floor and ceiling model of …Time Series Analysis, Forecasting, and Control (1995)Time Series Analysis, Forecas…A nonlinear approach to US GNP (1995)A nonlinear approach to US GNPSome advances in non‐linear and adaptive modelling in time‐series (1994)Some advances in non‐linear a…Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth (1994)Duration-Dependent Transition…Business-Cycle Phases and Their Transitional Dynamics (1994)Business-Cycle Phases and The…Nonparametric exchange rate prediction? (1990)Nonparametric exchange rate p…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics (2022)Effect of economic policy unc…Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model (2016)Interconnections Between Euro…The dynamic relationship between stock, bond and foreign exchange markets (2015)The dynamic relationship betw…The non-linear impact of high and growing government external debt on economic growth: A Markov Regime-switching approach (2014)The non-linear impact of high…Forecasting GDP growth using mixed-frequency models with switching regimes (2014)Forecasting GDP growth using …The determinants of FDI in Turkey: A Markov Regime-Switching approach (2012)The determinants of FDI in Tu…Combination schemes for turning point predictions (2012)Combination schemes for turni…Forecasting with Monetary Aggregates: Recent Evidence for the United States (2006)Forecasting with Monetary Agg…Chapter 16 Leading Indicators (2006)Chapter 16 Leading IndicatorsWhat Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study (2005)What Causes The Forecasting F…Forecasting Markov-switching dynamic, conditionally heteroscedastic processes (2004)Forecasting Markov-switching …Can regime‐switching models reproduce the business cycle features of US aggregate consumption, investment and output? (2004)Can regime‐switching models r…A Markov-switching vector equilibrium correction model of the UK labour market (2002)A Markov-switching vector equ…Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Why Does Stock Market Volatility Change Over Time? (1989)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Are Economic Time Series Asymmetric over the Business Cycle? (1984)Characterizing nonlinearities in business cycles using smooth transition autoregressive models (1992)Sample Splitting and Threshold Estimation (2000)Spatial Market Integration in the Presence of Threshold Effects (2001)Analysis of Financial Time Series (2006)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Can the Markov switching model forecast exchange rates? (1994)Forecasting exchange rates using feedforward and recurrent neural networks (1995)The specification of conditional expectations (2001)New Indexes of Coincident and Leading Economic Indicators (1989)The federal funds rate and the channels of monetary transmission (1989)Stock market volatility and the business cycle (1996)Vulnerable Growth (2019)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Causal Ordering and Identifiability (1977)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site (2009)Testing for Granger non-causality in heterogeneous panels (2012)Serial Correlation as a Convenient Simplification, Not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England (1978)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Principles of forecasting : a handbook for researchers and practitioners (2001)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)The European business cycle (2003)Modelling Nonlinear Economic Time Series (2010)Regime switching models (2010)Time-varying short-horizon predictability☆ (2010)
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References

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218 cited
  • 1999Why do regime-switching models forecast so badly?216 cited
  • Cited by

    • 2022Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics98 cited
    • 2002A Markov-switching vector equilibrium correction model of the UK labour market91 cited
    • 2014The non-linear impact of high and growing government external debt on economic growth: A Markov Regime-switching approach89 cited
    • 2012The determinants of FDI in Turkey: A Markov Regime-Switching approach78 cited
    • 2016Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model58 cited
    • 2014Forecasting GDP growth using mixed-frequency models with switching regimes52 cited
    • 2006Chapter 16 Leading Indicators46 cited
    • 2012Combination schemes for turning point predictions44 cited
    • 2005What Causes The Forecasting Failure of Markov-Switching Models? A Monte Carlo Study32 cited
    • 2004Can regime‐switching models reproduce the business cycle features of US aggregate consumption, investment and output?26 cited
    • 2004Forecasting Markov-switching dynamic, conditionally heteroscedastic processes23 cited
    • 2015The dynamic relationship between stock, bond and foreign exchange markets22 cited
    • 2006Forecasting with Monetary Aggregates: Recent Evidence for the United States20 cited