Markov switching asymmetric GARCH model: stability and forecasting
Sign Up to like & getrecommendations! Published in 2020 at "Statistical Papers"
DOI: 10.1007/s00362-018-0992-2
Abstract: A new Markov switching asymmetric GARCH model is proposed where each state follows the smooth transition GARCH model, represented by Lubrano (Recherches Economiques de Louvain 67:257–287, 2001 ), that follows a logistic smooth transition structure… read more here.
Keywords: garch; switching asymmetric; garch model; asymmetric garch ... See more keywords
Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach
Sign Up to like & getrecommendations! Published in 2018 at "Computational Economics"
DOI: 10.1007/s10614-016-9596-x
Abstract: The paper revisits the question of how stock return comovement varies with volatility and market returns. I propose an eigenvalue-based measure of comovement implied by the state-dependent correlation matrix estimated using a novel multivariate semi-Markov-switching… read more here.
Keywords: markov switching; stock return; comovement;
A Markov-Switching model for building occupant activity estimation
Sign Up to like & getrecommendations! Published in 2019 at "Energy and Buildings"
DOI: 10.1016/j.enbuild.2018.11.041
Abstract: Abstract Heating and ventilation strategies in buildings can be improved significantly if information about the current presence and activity level of the occupants is taken into account. Therefore, there is a high demand for inexpensive… read more here.
Keywords: occupant activity; level; activity; model ... See more keywords
Understanding the US natural gas market: A Markov switching VAR approach
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DOI: 10.1016/j.eneco.2018.08.004
Abstract: Over the past three decades, the US natural gas market has witnessed significant changes. Utilizing a standard Bayesian model comparison method, this paper formally determines four regimes existing in the market. It then employs a… read more here.
Keywords: markov switching; gas market; gas; price ... See more keywords
Infinite hidden markov switching VARs with application to macroeconomic forecast
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DOI: 10.1016/j.ijforecast.2017.06.006
Abstract: This paper develops vector autoregressive models with infinite hidden Markov structures, motivated by the recent empirical success of hierarchical Dirichlet process mixture models in financial and macroeconomic applications. We begin by developing a new Markov… read more here.
Keywords: hidden markov; markov switching; markov; switching vars ... See more keywords
On the Markov switching welfare cost of inflation
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2019.103748
Abstract: Abstract This paper uses the Markov switching approach to account for instabilities in the long-run money demand function and compute the welfare cost of inflation in the United States. In doing so, it circumvents the… read more here.
Keywords: money demand; markov switching; cost inflation; welfare cost ... See more keywords
Razumikhin-type theorem for stochastic functional differential equations with Lévy noise and Markov switching
Sign Up to like & getrecommendations! Published in 2017 at "International Journal of Control"
DOI: 10.1080/00207179.2016.1219069
Abstract: ABSTRACT This paper is devoted to study the well-known Razumikhin-type theorem for a class of stochastic functional differential equations with Lévy noise and Markov switching. In comparison to the standard Gaussian noise, Lévy noise and… read more here.
Keywords: markov switching; noise markov; equations noise; razumikhin type ... See more keywords
Markov-switching BILINEAR − GARCH models: Structure and estimation
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2017.1303732
Abstract: ABSTRACT Markov-switching (MS) models are becoming increasingly popular as efficient tools of modeling various phenomena in different disciplines, in particular for non Gaussian time series. In this articlept", we propose a broad class of Markov-switching… read more here.
Keywords: markov switching; markov; time; bilinear garch ... See more keywords
Security SMC for networked fuzzy singular systems with semi-Markov switching parameters
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Access"
DOI: 10.1109/access.2022.3170487
Abstract: In this paper, the issue of security sliding mode control (SMC) is addressed for networked nonlinear singular systems with semi-Markov switching parameters via the Takagi-Sugeno (T-S) fuzzy strategy. The goal is to guarantee a good… read more here.
Keywords: markov switching; systems semi; security; semi markov ... See more keywords
Sliding Mode Control for Fuzzy Networked Semi-Markov Switching Models Under Cyber Attacks
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Circuits and Systems II: Express Briefs"
DOI: 10.1109/tcsii.2021.3137196
Abstract: Sliding mode control (SMC) is investigated for nonlinear networked stochastic switching systems subject to semi-Markov parameters, in which the model is formulated based on the Takagi-Sugeno (T-S) fuzzy strategy. The occurrences of actuator failures and… read more here.
Keywords: networked semi; markov switching; sliding mode; mode control ... See more keywords
Distributed Dynamic Self-Triggered Control for Uncertain Complex Networks With Markov Switching Topologies and Random Time-Varying Delay
Sign Up to like & getrecommendations! Published in 2020 at "IEEE Transactions on Network Science and Engineering"
DOI: 10.1109/tnse.2019.2905758
Abstract: This paper studies the synchronization of complex networks with probabilistic interval delay and Markov switching topologies by using a novel dynamic self-triggered control (DSTC) scheme. Employing the probability distribution information of the input time-delay, the… read more here.
Keywords: control; complex networks; dynamic self; delay ... See more keywords