arXiv subjects

Yong Song

Publications and source records attributed to Yong Song.

21 records · Page 2Linked to original sources

arXiv2020

Bull and Bear Markets During the COVID-19 Pandemic

The COVID-19 pandemic has caused severe disruption to economic and financial activity worldwide. We assess what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. Using the model of Maheu, McCurdy and Song (2012), we provide smoothed estimates and out-of-sample forecasts associated with stock market dynamics during the pandemic. We identify bull and bear market regimes including their bull correction and bear rally components, demonstrate the model's performance in capturing periods of significant regime change, and provide forecasts that improve risk management and investment decisions. The paper concludes with out-of-sample forecasts of market states one year ahead.

econ.EM↗

arXiv2020

Markov Switching

Markov switching models are a popular family of models that introduces time-variation in the parameters in the form of their state- or regime-specific values. Importantly, this time-variation is governed by a discrete-valued latent stochastic process with limited memory. More specifically, the current value of the state indicator is determined only by the value of the state indicator from the previous period, thus the Markov property, and the transition matrix. The latter characterizes the properties of the Markov process by determining with what probability each of the states can be visited next period, given the state in the current period. This setup decides on the two main advantages of the Markov switching models. Namely, the estimation of the probability of state occurrences in each of the sample periods by using filtering and smoothing methods and the estimation of the state-specific parameters. These two features open the possibility for improved interpretations of the parameters associated with specific regimes combined with the corresponding regime probabilities, as well as for improved forecasting performance based on persistent regimes and parameters characterizing them.

econ.EM↗

arXiv2013

Overview of the Massive Young Star-Forming Complex Study in Infrared and X-ray (MYStIX) Project

MYStIX (Massive Young Star-Forming Complex Study in Infrared and Xray) seeks to characterize 20 OB-dominated young clusters and their environs at distances d < 4 kpc using imaging detectors on the Chandra X-ray Observatory, Spitzer Space Telescope, and the United Kingdom InfraRed Telescope. The observational goals are to construct catalogs of star-forming complex stellar members with well-defined criteria, and maps of nebular gas (particularly of hot X-ray emitting plasma) and dust. A catalog of MYStIX Probable Complex Members (MPCMs) with several hundred OB stars and > 30, 000 low mass premain sequence is assembled. This sample and related data products will be used to seek new empirical constraints on theoretical models of cluster formation and dynamics, mass segregation, OB star formation, star formation triggering on the periphery of HII regions, the survivability of protoplanetary disks in HII regions. This paper give an introduction and overview of the project, covering the data analysis methodology and application to two star forming regions, NGC 2264 and the Trifid Nebula.

astro-ph.SR↗