Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

Regime-switching models can match the tendency of financial markets to often change their
behavior abruptly and the phenomenon that the new behavior of financial variables often …

The impact that oil-market shocks have on stock prices in oil exporting countries has
implications for both domestic and international investors. We derive the shocks driving oil …

Reveals How HMMs Can Be Used as General-Purpose Time Series ModelsImplements all
methods in RHidden Markov Models for Time Series: An Introduction Using R applies …

Modelling based on finite mixture distributions is a rapidly develo** area with the range of
applications exploding. Finite mixture models are nowadays applied in such diverse areas …

Following Burns and Mitchell we define the cycle as a pattern in the level of aggregate
economic activity. An algorithm to locate turning points is developed, as is a new measure of …

This paper surveys recent developments related to the smooth transition autoregressive
(STAR) time series model and several of its variants. We put emphasis on new methods for …

The theoretical and empirical econometric literatures on long memory and regime switching
have evolved largely independently, as the phenomena appear distinct. We argue, in …

We examine the econometric performance of regime-switching models for interest rate data
from the United States, Germany, and the United Kingdom. Regime-switching models …

Many researchers use GARCH models to generate volatility forecasts. Using data on three
major US dollar exchange rates we show that such forecasts are too high in volatile periods …