Related papers: Underlying Core Inflation with Multiple Regimes
We study the sensitivity of LiteBIRD and CMB-S4 to the reheating temperature and the inflaton coupling in three types of plateau-potential models of inflation, namely mutated hilltop inflation, radion gauge inflation, and $\alpha$-attractor…
Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to…
We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated…
The notion that an independent central bank reduces a country's inflation is a controversial hypothesis. To date, it has not been possible to satisfactorily answer this question because the complex macroeconomic structure that gives rise to…
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the…
In this paper, we propose a two-step procedure based on the group LASSO estimator in combination with a backward elimination algorithm to detect multiple structural breaks in linear regressions with multivariate responses. Applying the…
Among the main goals in multiple change point problems are the estimation of the number and positions of the change points, as well as the regime structure in the clusters induced by those changes. The product partition model (PPM) is a…
Accurate estimation of Marginal Emission Factors (MEFs) is critical for evaluating the decarbonization potential of low-carbon technologies and demand-side management. However, canonical methodologies, predominantly relying on linear…
In this work, we consider the problem of mode clustering in Markov jump models. This model class consists of multiple dynamical modes with a switching sequence that determines how the system switches between them over time. Under different…
Inflation is a major determinant for allocation decisions and its forecast is a fundamental aim of governments and central banks. However, forecasting inflation is not a trivial task, as its prediction relies on low frequency, highly…
A thorough MCMC analysis of any inflationary model against the current cosmological data is essential for assessing the validity of such a model as a viable inflationary model. Warm Inflation, producing both thermal and quantum…
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models the first two moments of the spot…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
The basic question in perturbation analysis of Markov chains is: how do small changes in the transition kernels of Markov chains translate to chains in their stationary distributions? Many papers on the subject have shown, roughly, that the…
This paper addresses a key limitation in existing counterfactual inference methods for Markov Decision Processes (MDPs). Current approaches assume a specific causal model to make counterfactuals identifiable. However, there are usually many…
The classifications of inflationary regimes proposed in the literature have mostly been based on arbitrary characterizations, subject to value judgments by researchers. The objective of this study is to propose a new methodological approach…
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, including stock market volatility. In order to evaluate such…
This paper introduces a novel model-based clustering approach for clustering time series which present changes in regime. It consists of a mixture of polynomial regressions governed by hidden Markov chains. The underlying hidden process for…
We construct models for the pricing and risk management of inflation-linked derivatives. The models are rational in the sense that linear payoffs written on the consumer price index have prices that are rational functions of the state…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…