Bayesian estimation of switching ARMA models

Article Abstract:

A study was conducted on various switching ARMA models using the Bayesian approach and the Monte Carlo Markov Chain (MCMC) algorithms. Results showed that ARMA was found to be an effective model because it has multiple representation for simple components in non-linear time series model. The Bayesian estimator provides correct estimations for the parameters true value in various switching ARMA models through the help of the MCMC algorithms.

Econometrics & Model Building, Research, Usage, Bayesian statistical decision theory, Bayesian analysis, Mathematical models, Algorithms, Monte Carlo method, Monte Carlo methods, Business models, Linear models (Statistics)

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Regime switching in foreign exchange rates: evidence from currency option prices

Article Abstract:

Use of regime-switching models to analyze the fluctuations in foreign-exchange rates is discussed. Additional information on various statistical models used to evaluate the dynamics of foreign exchange rates is also included.

United States, Models, Prices and rates, Foreign exchange, Currency options, Foreign exchange rates

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