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dc.contributor.authorBouabdallah, Othman
dc.contributor.authorBessec, Marie
dc.date.accessioned2011-04-27T13:02:23Z
dc.date.available2011-04-27T13:02:23Z
dc.date.issued2005
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6064
dc.language.isoenen
dc.subjectMarkov Switchingen
dc.subjectRegime Shiftsen
dc.subjectForecastingen
dc.subject.ddc332en
dc.subject.classificationjelC53en
dc.subject.classificationjelC32en
dc.subject.classificationjelC22en
dc.titleWhat causes the forecasting failure of Markov-switching models ? A Monte Carlo studyen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversity of Paris Panthéon-Sorbonne;France
dc.description.abstractenThis paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications. In order to explain this poor performance, we use a forecasting error decomposition. We identify four components and derive their analytical expressions in different MS specifications. The relative contribution of each source is assessed through Monte Carlo simulations. We find that the main source of error is due to the misclassification of future regimes.en
dc.relation.isversionofjnlnameStudies in Nonlinear Dynamics & Econometrics
dc.relation.isversionofjnlvol9
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2005
dc.relation.isversionofjnlpagesarticle 6
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherDe Gruyter
dc.subject.ddclabelEconomie financièreen


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