Related papers: Underlying Core Inflation with Multiple Regimes
Modeling the dynamics of non-stationary stochastic systems requires balancing the representational power of deep learning with the mathematical transparency of classical models. While classical Markov transition operators provide explicit,…
We propose a nonparametric algorithm to detect structural breaks in the conditional mean and/or variance of a time series. Our method does not assume any specific parametric form for the dependence structure of the regressor, the time…
In this work we re-investigate pros and cons of mutated hilltop inflation. Applying Hamilton-Jacobi formalism we solve inflationary dynamics and find that inflation goes on along the ${\cal W}_{-1}$ branch of the Lambert function. Depending…
Performing numerical integration when the integrand itself cannot be evaluated point-wise is a challenging task that arises in statistical analysis, notably in Bayesian inference for models with intractable likelihood functions. Markov…
This paper introduces a new type of risk measures, namely regime switching entropic risk measures, and study their applicability through simulations. The state of the economy is incorporated into the entropic risk formulation by using a…
A Markov decision process can be parameterized by a transition kernel and a reward function. Both play essential roles in the study of reinforcement learning as evidenced by their presence in the Bellman equations. In our inquiry of various…
This article proposes an estimation method to detect breakpoints for linear time series models with their parameters that jump scarcely. Its basic idea owes the group LASSO (group least absolute shrinkage and selection operator). The method…
In single clock models of inflation the coupling between modes of very different scales does not have any significant dynamical effect during inflation. It leads to interesting projection effects. Larger and smaller modes change the…
This paper presents the CMB angular power spectrum obtained using the \texttt{CAMB} code for three different models of inflation: the Starobinsky inflationary model, the generalized Starobinsky inflationary model, and the chaotic…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
As a quantitative characterization of the complicated economy, Macroeconomic Variables (MEVs), including GDP, inflation, unemployment, income, spending, interest rate, etc., are playing a crucial role in banks' portfolio management and…
We discuss and extend methods for estimating Markovian-Regime-Switching (MRS) and trend models for wholesale electricity prices. We argue the existing methods of trend estimation used in the electricity price modelling literature either…
In response to the increasing deployment of battery storage systems for cost reduction and grid stress mitigation, this study presents the development of a new real-time Markov decision process model to efficiently schedule battery systems…
Dynamic networks exhibit temporal patterns that vary across different time scales, all of which can potentially affect processes that take place on the network. However, most data-driven approaches used to model time-varying networks…
I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…
The aim of this work is to build financial crisis indicators based on spectral properties of the dynamics of market data. After choosing an optimal size for a rolling window, the historical market data in this window is seen every trading…
This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural breaks, a break date estimator, and a break date confidence…
We develop general criteria to construct unified frameworks for inflation and quintessence which employ a unique scalar field to drive both. By using such a minimal theoretical framework we avoid having to fine-tune couplings and…
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest…
The growing attention on cryptocurrencies has led to increasing research on digital stock markets. Approaches and tools usually applied to characterize standard stocks have been applied to the digital ones. Among these tools is the…