Analysis of the rise in prices for consumer goods is a state's priority task. The state assumes
the obligation to regulate pricing in all spheres of consumption. First of all, the prices for …

We exactly derive the regime-dependent impulse response functions for a Markov switching
vector autoregression (VAR) model in terms of neat matrix expressions in closed form. The …

We investigate the market performance of negatively screened environment social and
governance (ESG) portfolio or sustainable investments prior to and during crisis. A general …

We propose a new method to compute various impulse response functions (IRF) for a
Markov switching VAR model in terms of neat matrix expressions in closed form. The key is …

This article introduces a discrete‐time fractional stochastic volatility model (FSV) based on
fractional Gaussian noise. The new model includes the standard stochastic volatility model …

This paper considers maximum likelihood (ML) estimation in a large class of models with
hidden Markov regimes. We investigate consistency of the ML estimator and local …

We provide a formal definition of an M-state multivariate Markov switching (MS) trend,
describe its asymptotic distribution, and consider vector autoregressive processes with MS …

A Markov-switching observation-driven model is a stochastic process $((S_t, Y_t)) _
{t\in\mathbb {Z}} $ where (i) $(S_t) _ {t\in\mathbb {Z}} $ is an unobserved Markov process …

We consider hidden Markov models indexed by a binary tree where the hidden state space
is a general metric space. We study the maximum likelihood estimator (MLE) of the model …

This study analyzes the co-integration relationship between sovereign bonds and credit
default swaps (CDS) and then examines the impact of CDS-bond deviation from the …