Markov-switching model

area: Time series · 1 papers in the last 7 days

y_t = \mu_{s_t} + \varepsilon_t,\quad \Pr(s_t = j \mid s_{t-1} = i) = p_{ij}

Lets a model's parameters change with an unobserved regime that follows a Markov chain.

LaTeX: y_t = \mu_{s_t} + \varepsilon_t,\quad \Pr(s_t = j \mid s_{t-1} = i) = p_{ij}

Names searched for: Markov switching, Markov regime switching, regime switching model

Key findings

Markov-switching model was mentioned in 13 papers in the last 30 days (2026-09-27 to 2026-10-26), ranking #57 of the 104 equations and models mentioned.
By journal category: Finance (6), Economics (4), Management (1), AI (1) and Operations Research (1).
Most of them appeared in Computational Economics (2), Research in International Business and Finance (2) and International Review of Economics & Finance (2).
Often mentioned together with Vector autoregression (VAR) (8), GARCH (6) and ARIMA (3).
Datasets named in the same papers: S&P 500 (4), Economic Policy Uncertainty index (2) and VIX (2).

Papers mentioning Markov-switching model, newest first.
Date	Title	Journal	Authors	Affiliations
2026-10-23	Markov-Switching Multifractal Models for High-Frequency Trade Counts	Computational Economics	Zhamilya Mussayeva, Karim Moussa	Vrije Universiteit Amsterdam
2026-10-18	Forecasting Bitcoin realized volatility under regime switching and delayed mean reversion	International Review of Financial Analysis	Zidong Huang, Sidan Wang, Zhong-Wei Liao	Beijing Normal University
2026-10-13	Investigating the dependence structure of dirty and clean cryptocurrencies with energy and green assets: Evidence from Markov-switching models	Research in International Business and Finance	Shu‐Han Hsu, Yiwen Yang, Po−Keng Cheng	National Taipei University of Business; National Taiwan Normal University; National Taipei University
2026-10-12	State-dependent exchange rate pass-through in Costa Rica: Evidence from an endogenous regime-switching SVAR	Economic Modelling	Carlos Brenes Soto, Fabio Gómez-Rodríguez	Lehigh University
2026-10-09	Stablecoin Peg Fragility and Latent Tail-Risk Regimes: Evidence from Peg Deviations and Supply Contractions	International Review of Economics & Finance	Edson Pindza	University of South Africa
2026-10-05	Dynamics of regime and quantile connectedness across new economy markets	International Review of Economics & Finance	Sami Al Kharusi, Rim M. El Khoury, Walid Mensi et al.	Sultan Qaboos University; Lebanese American University; Pusan National University
2026-10-05	An innovative approach to stock forecasting: combining LSTM, VMD, and artificial rabbit optimization	Future Business Journal	Homa Mehtarizadeh, Najme Mansouri, Behnam Mohammad Hasani Zade et al.	Shahid Bahonar University of Kerman
2026-10-03	Tail Dependence in EU Carbon Markets: Graphical Models of Extremes for EUA Futures	Computational Economics	Jan Maciejowski, Manuele Leonelli	IE University
2026-10-01	Media Interpretation, Investor Attention, and Volatility Escalation in Global Financial Markets	Finance research letters	Zuzana Janková	Brno University of Technology
2026-10-01	The evolution of robo-advisors in FinTech: a global bibliometric and thematic analysis, review and future agenda	Expert Systems with Applications	Falak Khan, Abdullah Al Hejaili, Natalia Kryvinska et al.	National University of Computer and Emerging Sciences; University of Tabuk; Comenius University Bratislava
2026-10-01	Adaptive Bayesian very short-term wind power forecasting based on the generalised logit transformation	International Journal of Forecasting	Tao Shen, Jethro Browell, Daniela Castro‐Camilo
2026-09-30	The Markov switching regime global VAR model (MSR-GVAR)	OR Spectrum	Giorgos Kotsompolis, Konstantinos Ν. Konstantakis, Panos Xidonas et al.	National Technical University of Athens; University of Piraeus; Hellenic Open University; …
2026-09-29	The price of ethics: Liquidity and safe haven properties of responsible physical gold ETPs	Research in International Business and Finance	Borja Amor Tapia, Paula Castro, María Teresa Tascón Fernández	Universidad de León