This paper introduces a new approach to model regime switching using an autoregressive
latent factor, which determines regimes depending upon whether it takes a value above or …

How strong has been the effect of the Global Financial Crisis (GFC) on systemic risk in
sovereign bond markets? Was the increase in credit spreads relative to triple-A benchmarks …

We examine monetary policy shifts by taking a new approach to regime switching in a small
scale DSGE model with threshold-type switching in the monetary policy rule. The policy …

We develop an N-regime Markov-switching model in which the latent state variable driving
the regime switching is endogenously determined with the model disturbance term. The …

This study examines the relationship between financial development and economic growth
across Chinese provinces with switching causality. Four states are considered: bidirectional …

The Kim filter (KF) approximation is widely used for the likelihood calculation of dynamic
linear models with Markov regime-switching parameters. However, despite its popularity, its …

We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs)
where the identified structural innovations are allowed to influence the dynamics of the …

This study introduces a multivariate regression model with endogenous Markov regime-
switching parameters, in which the regression disturbances and regime switches are …

This article studies the estimation of state space models whose parameters are switching
endogenously between two regimes, depending on whether an autoregressive latent factor …

This paper considers the pricing problem of an equity-linked guaranteed minimum death
benefit product with an expiration time of T, under the assumption of allowing surrender. To …