Related papers: Underlying Core Inflation with Multiple Regimes
Markovian-regime-switching (MRS) models are commonly used for modelling economic time series, including electricity prices where independent regime models are used, since they can more accurately and succinctly capture electricity price…
The Lucas critique has exposed the problem of the trade-off between changes in monetary policy and structural breaks in economic time series. The search for and characterisation of such breaks has been a major econometric task ever since.…
The present paper aims at locating the breakings of the integration process of an international system observed during about 50 years in the 19th century. A historical study could link them to special events, which operated as exogenous…
In modern business modeling and analytics, data monitoring plays a critical role. Nowadays, sophisticated models often rely on hundreds or even thousands of input variables. Over time, structural changes such as abrupt level shifts or trend…
For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in…
A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high frequency price returns of quoted firms. The peculiarity of…
This article introduces a novel dynamic framework to Bayesian model averaging for time-varying parameter quantile regressions. By employing sequential Markov chain Monte Carlo, we combine empirical estimates derived from dynamically chosen…
Assessing the contribution of various risk factors to future inflation risks was crucial for guiding monetary policy during the recent high inflation period. However, existing methodologies often provide limited insights by focusing solely…
We consider Markov-switching regression models, i.e. models for time series regression analyses where the functional relationship between covariates and response is subject to regime switching controlled by an unobservable Markov chain.…
Misperceptions about extreme dependencies between different financial assets have been an im- portant element of the recent financial crisis. This paper studies inhomogeneity in dependence structures using Markov switching regular vine…
We formulate a forward inflation index model with multi-factor volatility structure featuring a parametric form that allows calibration to correlations between indices of different tenors observed in the market. Assuming the nominal…
We propose a sequential monitoring scheme to find structural breaks in real estate markets. The changes in the real estate prices are modeled by a combination of linear and autoregressive terms. The monitoring scheme is based on a detector…
Timely monetary policy decision-making requires timely core inflation measures. We create a new core inflation series that is explicitly designed to succeed at that goal. Precisely, we introduce the Assemblage Regression, a generalized…
Robust inflation measures gauge inflation behavior by excluding volatile expenditure categories from headline inflation. We evaluate the forecasting performance of a wide set of such measures between 1970 and 2024, including core, median,…
In this paper we present elementary computations for some Markov modulated counting processes, also called counting processes with regime switching. Regime switching has become an increasingly popular concept in many branches of science. In…
Financial markets tend to switch between various market regimes over time, making stationarity-based models unsustainable. We construct a regime-switching model independent of asset classes for risk-adjusted return predictions based on…
Financial markets exhibit alternating periods of rising and falling prices. Stock traders seeking to make profitable investment decisions have to account for those trends, where the goal is to accurately predict switches from bullish…
Global warming is caused by increasing concentrations of greenhouse gases, particularly carbon dioxide (CO2). A metric used to quantify the change in CO2 emissions is the marginal emission factor, defined as the marginal change in CO2…
This paper proposes a hierarchical modeling approach to perform stochastic model specification in Markov switching vector error correction models. We assume that a common distribution gives rise to the regime-specific regression…
We propose a new nonparametric procedure for the detection and estimation of multiple structural breaks in the autocovariance function of a multivariate (second- order) piecewise stationary process, which also identifies the components of…