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Regime-Switching Model/Ushahidi
Rekodi ya ushahidi wa mbinu

Regime-Switching Model

The Markov regime-switching model, introduced by James D. Hamilton in 1989, is a hidden-state time-series model in which financial series such as returns or volatility behave with different parameters across distinct economic regimes (bull/bear or high/low volatility). It is the financial application of Hamilton's MS-AR model, where an unobserved Markov state governs which parameter set is active at each point in time.

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Rekodi ya chanzo

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Markov Regime-Switching Model for Financial Applications (Hamilton MS-AR)
Rekodi ya mbinu ya kiajenda · regression-model / finance
  • Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384. · DOI 10.2307/1912559
  • Ang, A., & Bekaert, G. (2002). Regime Switches in Interest Rates. Journal of Business & Economic Statistics, 20(2), 163-182. · DOI 10.1198/073500102317351930
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Same method familyOLS Regressionmachine-suggested · Relational suggestion, not evidence.

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