Browsing by Subject "Markov-switching model"

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Forecasting national recessions of the United States with state-level climate risks : evidence from model averaging in Markov-switching models

Cepni, Oguzhan; Christou, Christina; Gupta, Rangan (Elsevier, 2023-06)

This paper utilizes Bayesian (static) model averaging (BMA) and dynamic model averaging (DMA) incorporated into Markov-switching (MS) models to forecast business cycle turning points of the United States (US) with state-level ...
Forecasting returns of major cryptocurrencies : evidence from regime-switching factor models

Bouri, Elie; Christou, Christina; Gupta, Rangan (Elsevier, 2022-10)

The returns of cryptocurrencies tend to co-move, with their degree of co-movement being contingent on the (bullish- or bearish-) states. Given this, we use standard factor models and regime-switching factor loadings to ...

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