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 …

Increasing attention to regime shifts, critical transitions, non-marginal changes, and systemic
shocks calls for the development of models that are able to reproduce or grow structural …

Oil shocks are generally acknowledged to have important effects on both economic activity
and macroeconomic policy. The aim of this paper is to investigate how oil price shocks affect …

In this paper, we present a method to make personalized recommendations when user
preferences change over time. Most of the works in the recommender systems literature …

This paper examines the ability of regime-switching models to capture the dynamics of
foreign exchange rates. First we test the ability of the models to fit foreign exchange rate data …

A standard empirical finding is that expected changes in exchange rates and interest rate
differentials across countries are negatively related, implying that uncovered interest rate …

I review the burgeoning literature on applications of Markov regime switching models in
empirical finance. In particular, distinct attention is devoted to the ability of Markov Switching …

In this paper we use a Markov-switching vector autoregressive model to analyse the interest
rate pass-through between interbank and retail bank rates in the Euro area. Empirical …

This paper implements a regime-switching framework to study speculative attacks against
EMS currencies during 1979–1993. To identify speculative episodes, we model exchange …

This paper develops an empirical model of exchange rates in a target zone. The distribution
of exchange rate changes is conditioned on a latent jump variable where the probability and …