5 articles for “Regime Switching”

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Research ArticleOpen accessPhrase in the titleMISSING DATA IMPUTATION USING WEIGHTED OF REGIME SWITCHING MEAN AND REGRESSIONJumlong Vongprasert, Bhusana PremanodeMissing data imputation is an important task in cases where it is crucial to use all available data and not discard records with missing values. The purpose of this work were first to develop the Weighted of Regime Switching Mean and Regression (WRSMRI) for missing data estimation and secondly to compare its efficiency of estimation and statistical power of a … …Journal of Mathematics and Statistics, Vol. 10, Issue 2 · 3 May 2014 · 6,704 accessesView PDF Cite

Research ArticleOpen accessPhrase 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 PDF Cite

Research ArticleOpen accessPhrase 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 PDF Cite

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 PDF Cite

Research ArticleOpen accessAll words, across the recordMonetary 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 PDF Cite