Regime switching models

By James D. Hamilton. 2010

433 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/31bafd70d6379d97b058e8fa703be30d446c7480

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In Economics and Econometrics

Citations in the corpus

Regime-switching stochastic volatility model: estimation and calibration to VIX options (2017, neutral): “The original introduction of regime switching in the econometric literature can be attributed to Hamilton [30], the relevance of regime shifts in return GARCH models is highlighted in Dueker [20], Hillebrand [32] and a multivariate Markov-modulated Gaussian model is calibrated to stock returns in Da”
How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods (2010, positive): “The model is estimated by Maximum Likelihood method, as described by Hamilton (1995). The initial values of the parameters are obtained from Ordinary Least Squares regressions.”
A radial basis collocation method for pricing American options under regime-switching jump-diffusion models (2013, background): “Recent years have witnessed the widespread success of a series of asset price models, widely known under the heading of regime-switching models (see [5], [25] and [14] and the many references cited therein).”
Technical Guide for Latent GOLD 5.1: Basic, Advanced, and Syntax 1 (2016, background): “It is also referred to as latent transition model (Collins and Lanza, 2010; Collins and Wugalter, 1992), hidden Markov model (MacDonald and Zucchini, 1997; Visser, 2011), Markovswitching (Frühwirth-Schnatter, 2009), or regime-switching model (Hamilton, 2008).”
Measuring and Explaining Competitiveness in the Context of Small Island Destinations (2011, neutral): “…has increased dramatically, but the originating markets have remained almost unchanged (Mak 2004; Vanhove 2005); and (3) while tourism benefits in the short term seem clear, its benefits in the long run are not self-evident (Sinclair 1998; Nowak, Sahli, and Sgro 2003; Kim, Chen, and Jang 2006).”
A regime-switching Heston model for VIX and S&P 500 implied volatilities (2014, methodology): “In the time series literature, markets with Markov regime change were studied in Hamilton (2008), the importance of identifying regime change for GARCH models was identified in Hillebrand (2005), and the importance of jumps was highlighted in Ait-Sahalia et al. (2012), Bollerslev and Todorov…”