文章基本信息

标题：A New Regime Switching Model with State–Varying Endogeneity
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作者：Tingting Cheng ; Jiti Gao ; Yayi Yan 等
期刊名称：Journal of Management Science and Engineering
印刷版ISSN：2096-2320
出版年度：2018
卷号：3
期号：4
页码：214-231
DOI：10.3724/SP.J.1383.304012
语种：English
出版社：Elsevier
摘要：AbstractIn this paper, we propose a state-varying endogenous regime switching model (the SERS model), which includes the endogenous regime switching model by Chang et al., the CCP model, as a special case. To estimate the unknown parameters in the SERS model, we propose a maximum likelihood estimation method. Monte Carlo simulation results show that in the absence of state-varying endogeneity, the SERS model and the CCP model perform similarly, while in the presence of state-varying endogeneity, the SERS model performs much better than the CCP model. Finally, we use the SERS model to analyze Chinese stock market returns, and our empirical results show that there exists strongly state-varying endogeneity in volatility switching for the Shanghai Composite Index returns. Moreover, the SERS model can indeed produce a much more realistic assessment for the regime switching process than the one obtained by the CCP model.
关键词：Regime switching models;Latent factor;State-varying endogeneity;Maximum likelihood estimation;Markov chain