Arnaud Dufays publiera dans Economics Letters

Arnaud Dufays publiera dans Economics Letters

18 juin 2018

Arnaud Dufays, professeur adjoint au Département d'économique, publiera un article intitulé "Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space". Cette article est co-écrit avec Maciej Augustyniak.

Ci-dessous, un résumé de l'article :

The Markov-switching multifractal process, and recent extensions such as the factorial hidden Markov volatility model, correspond to tightly parametrized hidden Markov models characterized by a high-dimensional state space. Because the central component in these models is a Markov chain restricted to have positive support, the applicability of such models has been so far limited to the modeling of positive processes such as volatilities, inter-trade durations and trading volumes. By adapting the factorial hidden Markov volatility model, we develop a new regime-switching process for capturing time variation in the conditional mean of a time series with support on the whole real line. We show its promising performance to fit 21 widely used macroeconomic data sets.