Academic literature on the topic 'Endogenous regime switching model'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Endogenous regime switching model.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Journal articles on the topic "Endogenous regime switching model"
Barthélemy, Jean, and Magali Marx. "Solving endogenous regime switching models." Journal of Economic Dynamics and Control 77 (April 2017): 1–25. http://dx.doi.org/10.1016/j.jedc.2017.01.011.
Full textKim, Chang-Jin, Jeremy Piger, and Richard Startz. "Estimation of Markov regime-switching regression models with endogenous switching." Journal of Econometrics 143, no. 2 (April 2008): 263–73. http://dx.doi.org/10.1016/j.jeconom.2007.10.002.
Full textBranch, William A., Troy Davig, and Bruce McGough. "ADAPTIVE LEARNING IN REGIME-SWITCHING MODELS." Macroeconomic Dynamics 17, no. 5 (March 6, 2012): 998–1022. http://dx.doi.org/10.1017/s1365100511000800.
Full textCalzolari, Giorgio, Maria Gabriella Campolo, Antonino Di Pino, and Laura Magazzini. "Maximum likelihood estimation of an across-regime correlation parameter." Stata Journal: Promoting communications on statistics and Stata 21, no. 2 (June 2021): 430–61. http://dx.doi.org/10.1177/1536867x211025834.
Full textSeidl, Andrea. "Zeno points in optimal control models with endogenous regime switching." Journal of Economic Dynamics and Control 100 (March 2019): 353–68. http://dx.doi.org/10.1016/j.jedc.2018.09.010.
Full textHubrich, Kirstin, and Daniel Waggoner. "The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework." Finance and Economics Discussion Series, no. 2022-034 (June 2022): 1–53. http://dx.doi.org/10.17016/feds.2022.034.
Full textHubrich, Kirstin, and Daniel Waggoner. "The transmission of financial shocks and leverage of financial institutions: An endogenous regime switching framework." Finance and Economics Discussion Series, no. 2022-034 (June 2022): 1–53. http://dx.doi.org/10.17016/feds.2022.034.
Full textHayashi, Fumio, and Junko Koeda. "Exiting from quantitative easing." Quantitative Economics 10, no. 3 (2019): 1069–107. http://dx.doi.org/10.3982/qe1058.
Full textKang, Kyu H. "Estimation of state-space models with endogenous Markov regime-switching parameters." Econometrics Journal 17, no. 1 (February 2014): 56–82. http://dx.doi.org/10.1111/ectj.12014.
Full textAlba, Joseph D., and Peiming Wang. "TAYLOR RULE AND DISCRETIONARY REGIMES IN THE UNITED STATES: EVIDENCE FROM A k-STATE MARKOV REGIME-SWITCHING MODEL." Macroeconomic Dynamics 21, no. 3 (August 1, 2016): 817–33. http://dx.doi.org/10.1017/s1365100515000693.
Full textDissertations / Theses on the topic "Endogenous regime switching model"
Devilliers, Esther. "Modélisation micro-économétrique des choix de pratiques de production et des utilisations d'intrants chimiques des agriculteurs : une approche par les fonctions de production latentes." Thesis, Rennes, Agrocampus Ouest, 2021. http://www.theses.fr/2021NSARE058.
Full textCropping management practices is an agronomic notion grasping the interdependence between targeted yield and input use levels. Subsequently, one can legitimately assume that different cropping management practices are associated to different production functions. To better understand pesticide dependence – a key point to encourage more sustainable practices – one have to consider modelling cropping management practices specific production functions.Because of the inherent interdependence between those practices and their associeted yield and input use levels, we need to consider endogenous regime switching models.When unobserved, the sequence of cropping management practices choices is considered as a Markovian process. From this modelling framework we can derive the cropping management choices, their dynamics, their associated yield and input use levels. When observed, we consider primal production functions to see how yield responds differently to input uses based on the different cropping management practices. Thus, we can assess jointly the effect of a public policy on input use and yield levels.In a nutshell, in this PhD we are aiming at giving some tools to evaluate the differentiated effect of agri-environmental public policies on production choies and on the associated yield and input use levels
Koutchade, Obafèmi-Philippe. "Hétérogénéité inobservée et solutions en coin dans les modèles micro-économétriques de choix de production multiculture." Thesis, Rennes, Agrocampus Ouest, 2018. http://www.theses.fr/2018NSARE048/document.
Full textIn this thesis, we are interested in questions of unobserved heterogeneity and corner solutions in acreage choice models. To answer these questions, we rely on a NMNL acreage share multi-crop models, of which we propose extensions. These extensions lead to specific estimation problems, to which we provide solutions.The question of unobserved heterogeneity is dealt with by considering a random parameter specification. This allows us to take into account the effects of the unobserved heterogeneity on all the parameters of the model. We show that the stochastic versions of the EM algorithm are particularly suitable for estimating this type of modelOur estimation and simulation results show that farmers react heterogeneously to economic incentives and that ignoring this heterogeneity can lead to biased simulated effects of public policies.In order to take account of the corner solutions in acreage choices, we propose modelling based on endogenous regime switching models with regime fixed costs. Unlike approaches based on censored regression systems, our model is “fully” consistent from a micro-economic viewpoint. Our results show that the regime fixed costs play an important role in farmers’ choice to produce or not some crops and they are, in the short term, an important determinant of acreage choices
Check, Adam. "REGIME SWITCHING AND THE MONETARY ECONOMY." Thesis, University of Oregon, 2016. http://hdl.handle.net/1794/20531.
Full textShami, Roland G. (Roland George) 1960. "Bayesian analysis of a structural model with regime switching." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9277.
Full textSola, Martin. "Essays on speculative attacks on fixed exchange rate regimes, speculative bubbles and endogenous switching regime estimation." Thesis, University of Southampton, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.316309.
Full textCheung, Ka-chun. "Optimal asset allocation problems under the discrete-time regime-switching model." Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B31311234.
Full textYang, Zijian. "Application of Regime Switching Model to Equity Market and Portfolio Selection." Thesis, University of Essex, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.517406.
Full textCheung, Ka-chun, and 張家俊. "Optimal asset allocation problems under the discrete-time regime-switching model." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B31311234.
Full textGrimm, Stefanie [Verfasser]. "An Interest-Rate Model with Regime-Switching Mean-Reversion Level / Stefanie Grimm." München : Verlag Dr. Hut, 2017. http://d-nb.info/1135596794/34.
Full textStockel, Jakob, and Niklas Skantz. "Regime shifts in the Swedish housing market - A Markov-switching model analysis." Thesis, KTH, Fastigheter och byggande, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-190178.
Full textProblemformulering: Noggranna och tillforlitliga prognoser om utvecklingen pa bostadsmarknaden kan vara anvandbar information for marknadsaktorer samt beslutsfattare. Denna information kan vara anvandbar for att minimera risken relaterad till osakerheten pa marknaden. Sen bostadsbubblan sprack i borjan av 1990-talet har prisnivan for smahus okat kraftigt i Sverige. Den svenska bostadsmarknaden har upplevt en ovanligt lang period av hog tillvaxt i transaktionspriser som har oppnat upp for diskussioner om risken for en ny bostadsbubbla. Konjunkturoch fastighetscykler har visat sig innehalla asymmetrier som linjara modeller inte kan uppfanga och darfor visat sig vara olampliga for att analysera cykler. Tillvagagangssatt: Darfor anvander den har studien icke-linjara modeller som kan uppfanga dessa asymmetrier. De skattade modellerna ar variationer av Hamiltons Markov-switchingmodell, dvs. en autoregressiv Markov-switchingmodell (MS-AR) och en dynamisk Markov-switchingmodell (MS-DR). Resultat: Resultatet visar att MS-AR(4)-modellen som tar hansyn till varierande varians over regimerna estimerad med tillvaxten av FASTPI producerar overlagsna prognoser jamfort med andra MS-AR-modeller samt variationer av MS-DR-modellen. Den genomsnittliga forvantade varaktigheten att benna sig i en positiv regim ar mellan 6,3 och 7,3 ar och den genomsnittliga forvantade varaktigheten att benna sig i en negativ regim ar mellan 1,2 till 2,5 ar. Slutsats: Nasta regimskifte pa den svenska bostadsmarknaden beraknas ske mellan 2018 och 2019, antaget att nedgangen under 2012 ar den senaste negativa regimen. Resultatet stodjer tidigare studier, som tyder pa att ju langre marknaden har varit i ett tillstand, desto storre ar risken for ett regimskifte.
Books on the topic "Endogenous regime switching model"
Chang-Jin, Kim. Estimation of Markov regime-switching regression models with endogenous switching. [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2003.
Find full textFarmer, Roger E. A. Indeterminacy in a forward looking regime switching model. Cambridge, Mass: National Bureau of Economic Research, 2006.
Find full textFarmer, Roger E. A. Indeterminacy in a forward-looking regime-switching model. Atlanta, Ga.]: Federal Reserve Bank of Atlanta, 2006.
Find full textChib, Siddhartha. Non-Markovian regime switching with endogenous states and time-varying state strengths. [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2004.
Find full textYoshioka, Shinji. Is Indonesia a high inflation country?: A Markov regime switching model approach. Jakarta, Indonesia: National Development Planning Agency, 2003.
Find full textBrown, Ralph Stewart. An endogenous switching model of the effect of property broker authority on motor carrier transportation capacity. 1993.
Find full textAkpalu, Wisdom, and Xu Zhang. Fast-food consumption and child body mass index in China: Application of an endogenous switching regression model. UNU-WIDER, 2014. http://dx.doi.org/10.35188/unu-wider/2014/860-5.
Full textMakatjane, Katleho, and Roscoe van Wyk. Identifying structural changes in the exchange rates of South Africa as a regime-switching process. UNU-WIDER, 2020. http://dx.doi.org/10.35188/unu-wider/2020/919-8.
Full textWoldu, Gabriel Temesgen. Do fiscal regimes matter for fiscal sustainability in South Africa? A Markov-switching approach. UNU-WIDER, 2020. http://dx.doi.org/10.35188/unu-wider/2020/920-4.
Full textBook chapters on the topic "Endogenous regime switching model"
Ferri, Piero, and Edward Greenberg. "A Regime Switching Model." In Lecture Notes in Economics and Mathematical Systems, 120–43. Berlin, Heidelberg: Springer Berlin Heidelberg, 1989. http://dx.doi.org/10.1007/978-3-662-00831-7_8.
Full textValdez, Adrian Roy L., and Tiziano Vargiolu. "Optimal Portfolio in a Regime-switching Model." In Seminar on Stochastic Analysis, Random Fields and Applications VII, 435–49. Basel: Springer Basel, 2013. http://dx.doi.org/10.1007/978-3-0348-0545-2_22.
Full textYamaka, Woraphon, Payap Tarkhamtham, Paravee Maneejuk, and Songsak Sriboonchitta. "A Regime Switching Skew-Distribution Model of Contagion." In Structural Changes and their Econometric Modeling, 439–50. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-04263-9_34.
Full textCai, Fengjing, Yuan Li, and Huiming Wang. "Modelling Uncertainty in Graphs Using Regime-Switching Model." In Computational Risk Management, 507–14. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-18387-4_56.
Full textSchlösser, Anna. "Regime-Switching Extension of the NIG Factor Copula Model." In Lecture Notes in Economics and Mathematical Systems, 185–226. Berlin, Heidelberg: Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-15609-0_8.
Full textLiu, Xuanhui, Li-Ai Cui, and Fangguo Ren. "Conditional Ruin Probability with a Markov Regime Switching Model." In Advances in Intelligent and Soft Computing, 295–300. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-22833-9_35.
Full textChevallier, Julien, and Stéphane Goutte. "Statistical Method to Estimate a Regime-Switching Lévy Model." In Springer Proceedings in Mathematics & Statistics, 381–89. Cham: Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-13881-7_42.
Full textSavku, E., and G. W. Weber. "A Regime-Switching Model with Applications to Finance: Markovian and Non-Markovian Cases." In Dynamic Economic Problems with Regime Switches, 287–309. Cham: Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-54576-5_13.
Full textJalen, Luka, and Rogemar S. Mamon. "Parameter Estimation in a Regime-Switching Model with Non-normal Noise." In Hidden Markov Models in Finance, 241–61. Boston, MA: Springer US, 2014. http://dx.doi.org/10.1007/978-1-4899-7442-6_11.
Full textFlorescu, Ionut, and Forrest Levin. "Estimation Procedure for Regime Switching Stochastic Volatility Model and Its Applications." In Handbook of High-Frequency Trading and Modeling in Finance, 107–36. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2016. http://dx.doi.org/10.1002/9781118593486.ch5.
Full textConference papers on the topic "Endogenous regime switching model"
Hoesli, Martin, and Jean-Christophe Delfim. "A Robust Regime-Switching Desmoothing Model." In 25th Annual European Real Estate Society Conference. European Real Estate Society, 2018. http://dx.doi.org/10.15396/eres2018_123.
Full textWan, Shuping. "Stochastic Differential Portfolio Games with Regime Switching Model." In 2006 Sixth International Conference on Hybrid Intelligent Systems. IEEE, 2006. http://dx.doi.org/10.1109/his.2006.264893.
Full textGomes, Adam D., and Andrew J. Heunis. "Unconstrained Hedging within a Regime-Switching Market Model." In 2019 Sixth Indian Control Conference (ICC). IEEE, 2019. http://dx.doi.org/10.1109/icc47138.2019.9123156.
Full textChen, Zhiying, Xuanhua Peng, and Yongkui Li. "Optimal Portfolio Choice under Hidden Regime Switching Model." In Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017). Paris, France: Atlantis Press, 2017. http://dx.doi.org/10.2991/wrarm-17.2017.43.
Full textSiu, Chi Chung. "Option Pricing with a Regime-Switching Lévy Model." In Proceedings of the KIER–TMU International Workshop on Financial Engineering 2010. WORLD SCIENTIFIC, 2011. http://dx.doi.org/10.1142/9789814366038_0008.
Full textWan, Shuping. "Stochastic Control in Optimal Portfolio with Regime Switching Model." In 2006 9th International Conference on Control, Automation, Robotics and Vision. IEEE, 2006. http://dx.doi.org/10.1109/icarcv.2006.345087.
Full textYANG, H., and G. YIN. "RUIN PROBABILITY FOR A MODEL UNDER MARKOVIAN SWITCHING REGIME." In Proceedings of a Workshop. WORLD SCIENTIFIC, 2004. http://dx.doi.org/10.1142/9789812702715_0013.
Full textLi, Ping, and Yin Libo. "A Copula-based Regime-switching Model for Rainbow Option Pricing." In 2012 Fifth International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2012. http://dx.doi.org/10.1109/bife.2012.148.
Full textLenhard, Gregor, and Dietmar Maringer. "State-ANFIS: A Generalized Regime-Switching Model for Financial Modeling." In 2022 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CIFEr). IEEE, 2022. http://dx.doi.org/10.1109/cifer52523.2022.9776208.
Full textYuan, Quan, Baojun Bian, and Guiqiu Yuan. "Binomial Tree Method for American Options in a Regime Switching Model." In 2008 4th International Conference on Wireless Communications, Networking and Mobile Computing (WiCOM). IEEE, 2008. http://dx.doi.org/10.1109/wicom.2008.2312.
Full textReports on the topic "Endogenous regime switching model"
Kim, Chang-Jin, Jeremy M. Piger, and Richard Startz. Estimation of Markov Regime-Switching Regression Models with Endogenous Switching. Federal Reserve Bank of St. Louis, 2003. http://dx.doi.org/10.20955/wp.2003.015.
Full textBenigno, Gianluca, Andrew Foerster, Christopher Otrok, and Alessandro Rebucci. Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach. Cambridge, MA: National Bureau of Economic Research, April 2020. http://dx.doi.org/10.3386/w26935.
Full textChib, Siddhartha, and Michael J. Dueker. Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths. Federal Reserve Bank of St. Louis, 2004. http://dx.doi.org/10.20955/wp.2004.030.
Full textFarmer, Roger E., Daniel Waggoner, and Tao Zha. Indeterminacy in a Forward Looking Regime Switching Model. Cambridge, MA: National Bureau of Economic Research, September 2006. http://dx.doi.org/10.3386/w12540.
Full textMisas A., Martha, and María Teresa Ramírez-Giraldo. Depressions in the colombian economic growth during the XX century: a Markov switching regime model. Bogotá, Colombia: Banco de la República, June 2005. http://dx.doi.org/10.32468/be.340.
Full textLo, Ming Chien, and Jeremy M. Piger. Is the Response of Output to Monetary Policy Asymmetric? Evidence from a Regime-Switching Coefficients Model. Federal Reserve Bank of St. Louis, 2001. http://dx.doi.org/10.20955/wp.2001.022.
Full textCarrasco, Alex, and David Florián Hoyle. External Shocks and FX Intervention Policy in Emerging Economies. Inter-American Development Bank, August 2021. http://dx.doi.org/10.18235/0003457.
Full textMéndez-Vizcaíno, Juan C., and Nicolás Moreno-Arias. A Global Shock with Idiosyncratic Pains: State-Dependent Debt Limits for LATAM during the COVID-19 pandemic. Banco de la República, October 2021. http://dx.doi.org/10.32468/be.1175.
Full text