Moments of Markov switching models

By Allan G. Timmermann. 2000

175 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8b42e3741081a0af0aefb208db6e07355755a95e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Moments of Markov-Switching Models (2014, methodology): “We have been inspired by T i mm e rm a n n’ s paper [4] for the special form of the Markov-switching models.”
The impact of oil-market shocks on stock returns in major oil-exporting countries (2018, background): “As discussed by Timmermann (2000), Markov-switching models are able to capture stylized features of financial time series data like fat tails, autocorrelation, and volatility clustering.”
Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns (2005, unknown): “The absence of ARCH effects in our model can be explained by the fact that regime switching can capture volatility clustering through time-variations in the probabilities of (persistent) states with very different levels of volatility (Timmermann, 2000).”
Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models? (2019, unknown): “Unfortunately, the GARCH-type models above basically focus on one regime of crude oil price changes, and often fit the in-sample and out-of-sample data with the same pattern but ignore potential structural changes (Lamoureux& Lastrapes, 1990; Timmermann, 2000).”
Forecasting: theory and practice (2020, background): “Moreover, MSMs are known to capture key features of many time series (Timmermann, 2000).”
The Determinants of Stock and Bond Return Comovements (2010, unknown): “As calculated in Timmermann (2000), the conditional skewness Skt−1 is given by: Skt−1 = πt−1 (1− πt−1) (μ1 − μ2) ( 3 (σ1 − σ2) + (1− 2πt−1) (μ2 − μ1)2 ) [ πt−1σ1 + (1− πt−1) σ2 + πt−1 (1− πt−1) (μ2 − μ1)2 ] 3 2 (D-30)”
When does investor sentiment predict stock returns (2012, unknown): “Following Perez-Quiros and Timmermann (2000) and Ozoguz (2009), X t−1 comprises dividend yield, default premium, and the short-term interest rate. µ st is the 3 × 1 vector of the regime-dependent intercepts, Φ st is the 3 × 3 matrix of the regime-dependent coefficients .”
Regime Switches in Interest Rates (2002, unknown): “Models with A restricted to 0, that is, standard correlated Vasicek (1977) models, do not converge at all for all countries.”
On More Robust Estimation of Skewness and Kurtosis: Simulation and Application to the S&P500 Index (2003, background): “Important recent work on mixture models of this sort is that of Timmermann (2000) and Perez-Quiros and Timmermann (2001).”
The Term Structure of Real Rates and Expected Inflation (2008, unknown): “The formulae given here assume that there areK regimesst = 1, . . . K. Timmermann (2000) provides explicit formulae for a similar formulation of (1), except that the conditional mean ofXt+1 depends onµ(st+1)+Φ(Xt− µ(st)) rather than onµ(st+1) + ΦXt.”