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Spectral density of Markov switching models: Derivation, simulation studies and application (2016)
Journal Article
Cheng, J. (2016). Spectral density of Markov switching models: Derivation, simulation studies and application. Model Assisted Statistics and Applications, 44(4), 277-291. https://doi.org/10.3233/MAS-160373

This paper is concerned with frequency domain analysis of Markov mean-switching autoregressive (MMSAR) models, linear Markov switching autoregressive (LMSAR) model and transitional Markov switching autoregressive (TMSAR) model. We derive the general... Read More about Spectral density of Markov switching models: Derivation, simulation studies and application.

Nonlinearity and Endogeneity in Continuous-Time Regime-Switching Diffusion Models for Market Volatility (2016)
Journal Article
Bu, R., Cheng, J., & Hadri, K. (2016). Nonlinearity and Endogeneity in Continuous-Time Regime-Switching Diffusion Models for Market Volatility. Studies in Nonlinear Dynamics and Econometrics, 21(1), https://doi.org/10.1515/snde-2016-0047

We examine model specification in regime-switching continuous-time diffusions for modeling S&P 500 Volatility Index (VIX). Our investigation is carried out under two nonlinear diffusion frameworks, the NLDCEV and the CIRCEV frameworks, and our focus... Read More about Nonlinearity and Endogeneity in Continuous-Time Regime-Switching Diffusion Models for Market Volatility.

A transitional Markov switching autoregressive model (2016)
Journal Article
Cheng. (2016). A transitional Markov switching autoregressive model. Communications in Statistics - Theory and Methods, 45(10), 2785-2800. https://doi.org/10.1080/03610926.2014.894065

This paper is concerned with properties of a transitional Markov switching autoregressive (TMSAR) model, together with its maximum-likelihood estimation and inference. We extend existing MSAR models by allowing dependence of AR parameters on hidden s... Read More about A transitional Markov switching autoregressive model.