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C. J. Kimand and C. R. Nelson, “State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications,” MIT Press, Cambridge, 1999.

has been cited by the following article:

• TITLE: Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy

  AUTHORS: Nop Sopipan, Pairote Sattayatham, Bhusana Premanode

  KEYWORDS: Forecasting; Volatility; Gold Price; Markov Regime Switching

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.1, February 28, 2012

  ABSTRACT: In this paper, we forecast the volatility of gold prices using Markov Regime Switching GARCH (MRS-GARCH) models. These models allow volatility to have different dynamics according to unobserved regime variables. The main purpose of this paper is to find out whether MRS-GARCH models are an improvement on the GARCH type models in terms of modeling and forecasting gold price volatility. The MRS-GARCH is best performance model for gold price volatility in some loss function. Moreover, we forecast closing prices of gold price to trade future contract. MRS-GARCH got the most cumulative return same GJR model.