Concepedia

Regime-switching Forecasting

Regime-Switching Forecasting is a dynamic predictive modeling approach within financial forecasting that, unlike static models, explicitly accounts for structural changes in time series behavior by modeling transitions between distinct regimes governed by a stochastic process, thereby allowing forecasting performance to adapt to shifts in the underlying economic or financial environment.

99

Publications

5.1K

Citations

200

Authors

151

Institutions

Publications per year

2017–2026

27

Parents

Publications

99

How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes

Laurent E. Calvet · Journal of Financial Econometrics · 2004 · 307 citations

, , +17

Calibrated Probabilistic Forecasting at the Stateline Wind Energy Center

Tilmann Gneiting, Kristin Larson, Kenneth J. Westrick et al. · Journal of the American Statistical Association · 2006 · 245 citations

, , +15

Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models

Adam Misiorek, Stefan Trueck, Rafał Weron · Studies in Nonlinear Dynamics and Econometrics · 2006 · 234 citations

, , +16

Assessing the Forecasting Performance of Regime‐Switching, ARIMA and GARCH Models of House Prices

Gordon Crawford, Michael Fratantoni · Real Estate Economics · 2003 · 230 citations

, , +16

Predicting price spikes in electricity markets using a regime-switching model with time-varying parameters

Timothy D. Mount, Yumei Ning, Xiaobin Cai · Energy Economics · 2005 · 225 citations

, , +13

1–5 of 99

Authors

200

  1. DW
    Derek W. Bunn

    London Business School, United Kingdom

    3 publications · 111 citations

    3

    h-index

  2. MG
    Massimo Guidolin

    Bocconi University, Italy

    3 publications · 53 citations

    3

    h-index

  3. DT
    David Turkington

    State Street (United States), United States

    2 publications · 192 citations

    2

    h-index

  4. KJ
    Kenneth J. Westrick

    University of Washington, United States

    2 publications · 258 citations

    2

    h-index

  5. KC
    Kuang‐Liang Chang

    National Chiayi University, Taiwan

    2 publications · 71 citations

    2

    h-index

1–5 of 200

Institutions

151

  1. Banque de France

    Paris, France

    3 h-index

    5 publications

    89 citations

  2. National Taiwan University

    Taipei, Taiwan

    3 h-index

    5 publications

    125 citations

  3. University of Manchester

    Manchester, United Kingdom

    3 h-index

    4 publications

    58 citations

  4. Bocconi University

    Milan, Italy

    3 h-index

    3 publications

    94 citations

  5. Queensland University of Technology

    Brisbane, Australia

    3 h-index

    3 publications

    294 citations

  6. London Business School

    London, United Kingdom

    3 h-index

    4 publications

    130 citations

  7. Birkbeck, University of London

    London, United Kingdom

    3 h-index

    3 publications

    240 citations

  8. Centre for Economic Policy Research

    London, United Kingdom

    2 h-index

    2 publications

    79 citations

1–8 of 151

Venues

  1. Journal of Forecasting

    10 publications · 570 citations

    10

    h-index

  2. SSRN Electronic Journal

    Repository · 7 publications · 223 citations

    7

    h-index

  3. International Journal of Forecasting

    4 publications · 228 citations

    4

    h-index

  4. International Journal of Finance & Economics

    IJFE · 3 publications · 138 citations

    3

    h-index

  5. Energy Economics

    3 publications · 275 citations

    3

    h-index

1–5