Concepedia

Bayesian Regime Switching Models

Bayesian Regime Switching Models is a statistical framework within time series analysis that combines state-space modeling with Bayesian inference to capture structural changes in dynamics over time, where discrete latent regimes govern parameter shifts according to a Markov process.

34

Publications

1.5K

Citations

74

Authors

65

Institutions

Publications per year

2017–2026

7

Variants

Bayesian Markov-switching Models

Parents

Publications

34

Good Times or Bad Times? Investors' Uncertainty and Stock Returns

Arzu Ozoguz · Review of Financial Studies · 2008 · 181 citations

, , +17

Is Regime Switching in Stock Returns Important in Portfolio Decisions?

Jun Tu · Management Science · 2010 · 122 citations · Full text

, , +17

Monetary Policy Regime Shifts and Inflation Persistence

Troy Davig, Taeyoung Doh · The Review of Economics and Statistics · 2013 · 120 citations

, , +16

A Bayesian Analysis of a Switching Regression Model: Known Number of Regimes

Pedro Eduardo Ferreira · Journal of the American Statistical Association · 1975 · 111 citations

, , +14

Environmental Kuznets curves: Bayesian evidence from switching regime models

George Halkos, Efthymios G. Tsionas · Energy Economics · 2001 · 73 citations

, , +15

1–5 of 34

Authors

74

  1. AR
    Alex R. Cook

    National University of Singapore, Singapore

    2 publications · 35 citations

    2

    h-index

  2. TD
    Taeyoung Doh

    Federal Reserve Bank of Kansas City, United States

    2 publications · 132 citations

    2

    h-index

  3. JT
    Jue Tao Lim

    National University of Singapore, Singapore

    2 publications · 35 citations

    2

    h-index

  4. JT
    Jun Tu

    Singapore Management University, Singapore

    2 publications · 132 citations

    2

    h-index

  5. PE
    Pedro Eduardo Ferreira

    Karolinska Institutet, Sweden

    2 publications · 146 citations

    2

    h-index

1–5 of 74

Institutions

65

  1. National University Health System

    Singapore, Singapore

    2 h-index

    10 publications

    170 citations

  2. Singapore Management University

    Singapore, Singapore

    2 h-index

    2 publications

    132 citations

  3. National University of Singapore

    Singapore, Singapore

    2 h-index

    10 publications

    170 citations

  4. Federal Reserve Bank of Kansas City

    Kansas City, United States

    2 h-index

    4 publications

    264 citations

  5. University of North Carolina at Chapel Hill

    Chapel Hill, United States

    2 h-index

    2 publications

    221 citations

  6. Center for Interuniversity Research and Analysis on Organizations

    Montreal, Canada

    2 h-index

    2 publications

    71 citations

  7. Federal Reserve Bank of St. Louis

    St Louis, United States

    1 h-index

    2 publications

    48 citations

  8. Cerro Tololo Inter-American Observatory

    La Serena, Chile

    1 h-index

    1 publications

    35 citations

1–8 of 65

Venues

  1. SSRN Electronic Journal

    Repository · 6 publications · 124 citations

    6

    h-index

  2. 2

    h-index

  3. Journal of Applied Econometrics

    2 publications · 68 citations

    2

    h-index

  4. Studies in Nonlinear Dynamics and Econometrics

    SNDE · 1 publications · 36 citations

    1

    h-index

  5. Water Resources Research

    1 publications · 51 citations

    1

    h-index

1–5