{"paper":{"title":"Multi-regime Markov-switching models with time-varying transition probabilities: An application to U.S. Treasury yields","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["econ.EM","q-fin.ST"],"primary_cat":"stat.ME","authors_text":"Samuel Mod\\'ee, Sjur Westgaard, Stein Andreas Bethuelsen, Yushu Li","submitted_at":"2026-05-14T15:40:04Z","abstract_excerpt":"This paper studies Markov-switching (MS) models with time-varying transition probabilities (TVTP) under various specifications of the transition probability matrix. Especially, we extend the two-regime common-variance setting of the Generalized Autoregressive Score (GAS) model from (Bazzi et al., 2017) to the general $K$-regime case with regime-specific means and variances. Our study contains comprehensive Monte Carlo simulations and we developed an open-source R package, \\texttt{multiregimeTVTP}, for data simulation and parameter estimation. We find that the regime means, variances, and trans"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2605.14976","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}