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9 results for “Markov Switching (MS)”
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Research ArticleOpen accessEvery word in the titleStudy on the Relationship between International and Domestic Grain Prices in Developing Countries—An Application of Markov-Switching Autoregressive Model—Shuqin Yan, Kolawole Ogundari, Hiroshi Isoda, Shoichi ItoThis study aims at estimating the influence of international grain prices on the domestic grain prices in 24 developing countries using a nonlinear model, Markov-Switching Autoregressive model. The results indicate that international grain prices have a positive influence on domestic grain prices before and during/after the grain price-hikes, while the degree of influence may vary depending upon grains and countries. … …American Journal of Economics and Business Administration, Vol. 8, Issue 2 · 31 Jul 2016 · 7,796 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleForecasting the Stock Exchange of Thailand uses Day of the Week Effect and Markov Regime Switching GARCHP. Sattayatham, N. Sopipan, B. PremanodeProblem statement: We forecast return and volatility of the Stock Exchange of Thailand (SET) Index. Approach: In this study, we modeled the SET Index returns using mean equation with day of the week effect and autoregressive moving-average. Next we forecast the volatility of the SET Index by using the GARCH-type model and the Markov Regime Switching GARCH (MRS-GARCH) model. Results: … …American Journal of Economics and Business Administration, Vol. 4, Issue 1 · 15 Mar 2012 · 7,865 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleMarkov Regime Switching Modelling and Analysis of Socially Responsible Investment FundsEduardo D. Roca, Victor S.H. Wong, Gurudeo Anand TularamProblem statement: An increasing proportion of Australian superannuation funds are being placed in Socially Responsible Investments (SRI). Yet, there is no clarity in the literature as regards the risk and return characteristics of these investments and how their performance is affected by different states of the market and sector. Approach: We examine the sensitivity of Australian SRI Funds to movements … …Journal of Mathematics and Statistics, Vol. 7, Issue 4 · 28 Oct 2011 · 7,378 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleA Markov Switching Regime Model of Malaysia Property CycleAbdul Mutalib Beksin, Bawa Chafe AbdullahiProblem statement: Non-linear models such as the Markov Switching regime (MS) method of modeling business cycles, in principle can be used to model property cycle. Approach: The MS model can distinguish property cycle in recession and expansion phases and is sufficiently flexible to allow different relationships to apply over these phases. The Malaysian property cycle was modeled using a MS … …American Journal of Applied Sciences, Vol. 8, Issue 11 · 10 Oct 2011 · 6,923 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleMonetary Policy in a Markov-Switching VECM: Implications for the Cost of Disinflation in GhanaRichard Kwabi Ayisi, Joseph AduMonetary policy assessment in Ghana has been conducted using vector auto-regression. This however, presumes stability of long run outcomes and particularly ignores monetary policy regime changes that has characterized the economy overtime. This study thus introduced the possibility of switches in the long run equilibrium in co-integrated vector auto-regression by allowing both the covariance and weighting matrix in the error-correction … …American Journal of Economics and Business Administration, Vol. 8, Issue 2 · 18 Mar 2017 · 8,548 accessesView PDFCite
Research ArticleOpen accessEvery word in the titleEVALUATION OF HIDDEN MARKOV MODEL BASED ADAPTIVE PROVISIONING OF OPTICAL BURST SWITCHING NETWORKS AMENABLE FOR UPGRADATION TO GREEN FLEXIGRID NETWORKSP. G.V. Ramesh, Prita NairCatering to the evolving bandwidth-on-demand applications requires flexible provisioning architectures that ensure fairness to both high end and low end users of internet. Dynamic classification of network paths into long and short, based on traffic dependent connection holding times and a wavelength allocation from different subsets for these categories is a necessity for implementing energy saving hybrid switching, loss recovery … …Journal of Computer Science, Vol. 10, Issue 5 · 16 Jan 2014 · 6,517 accessesView PDFCite
Research ArticleOpen accessIn the keywordsAn Extension of Yoshida, Imoto, Higuchi and Miyano ResultB. OnoghojobiProblem statement: Different approaches to deal with dynamic model when it is studentized are presented. Approach: In this respect, the recursive formula for calculating state space in the canonical form. Results: The asymptotic distribution of their test under the linear system for the gene network and a studentized-dynamic linear model with Markov denoising switching for estimating time-dependent gene network structure … …Journal of Mathematics and Statistics, Vol. 5, Issue 4 · 31 Dec 2009 · 6,798 accessesView PDFCite
Research ArticleOpen accessIn the abstractAnalysis of a Two Unit Standby Oil Delivering System with a Provision of Switching Over to another System at Need to Increase the AvailabilityUpasana Sharma, Rekha, Gulshan TanejaProblem statement: The study deals with a standby system consisting of two units. Initially one unit is operative and the other is standby. When both the units are failed then there is a provision of switching over to the other similar system. This practical situation may be observed in an oil refinery plant. Real data on failure and repair rates … …Journal of Mathematics and Statistics, Vol. 7, Issue 1 · 31 Jan 2011 · 7,107 accessesView PDFCite
Research ArticleOpen accessIn the abstractRetail Banking Loan Portfolio Equilibrium Mix : A Markov Chain Model AnalysisV. Thyagarajan, Saiful Maznan Bin MohamedThe variance analysis of actual loan sanctions with the non-documented method of loan allocation of the selected retail bank, over a period of 24 months, revealed that there is a scope to improve their income earnings. Realizing its importance Markov Chain Market Share model was applied to inter temporal data of loan disbursements of the selected bank. By applying Estimate … …American Journal of Applied Sciences, Vol. 2, Issue 1 · 31 Jan 2005 · 7,576 accessesView PDFCite