Search Results - subject:"Regime Switching Model"

Assessing Time-Varying Stock Market Integration in EMU for Normal and Crisis Periods

Sehgal, Sanjay; Gupta, Priyanshi; Deisting, Florent - Volkswirtschaftliche Fakultät, … - 2014

In this paper, we examine the financial integration process amongst 17 EMU countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their...

Persistent link: https://www.econbiz.de/10011272696

A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices

Lin, Shih-Kuei; Lin, Chien-Hsiu; Chuang, Ming-Che; … - In: Economic Modelling 38 (2014) C, pp. 341-350

reference portfolio would follow a regime-switching model with jump risks. Our empirical results show that compared to the Black …–Scholes model and the regime-switching model, the regime-switching model with jump risks can better explain the dynamics of the S … regime-switching model with jump risks. Sensitivity analysis shows that the changes of parameters of the regime-switching …

Persistent link: https://www.econbiz.de/10010753318

A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks : evidence from stock indices

Lin, Shih-kuei; Lin, Chien-hsiu; Chuang, Ming-che; … - In: Economic modelling 38 (2014), pp. 341-350

Persistent link: https://www.econbiz.de/10010419066

The IPO Cycles in China's A-share IPO Market: Detection Based on a Three Regimes Markov Switching Model

HU, Zhiqiang; WANG, Yizhu - In: Journal for Economic Forecasting (2013) 3, pp. 115-131

This paper expands the IPO market conditions from two states to three states, which include hot periods, cold periods and interim periods, and improves upon measures used to detect IPO market cycles given cycle strength in China’s IPO market. We use a model based on the three Markov regime...

Persistent link: https://www.econbiz.de/10010702345

Spot-forward model for electricity prices

Fleten, Stein-Erik; Paraschiv, Florentina; Schürle, Michael - 2013

Persistent link: https://www.econbiz.de/10010410048

Asymmetric labor market reforms : effects on wage growth and conversion probability of fixed-term contracts

Silva, Marta; Martins, Luís Filipe; Lopes, Helena - In: ILR review : the journal of work and policy 71 (2018) 3, pp. 760-788

Persistent link: https://www.econbiz.de/10011922593

Sentiment-augmented asset pricing in Bursa Malaysia : a time-varying Markov regime-switching model

Han Hwa Goh; Chong, Lee Lee; Ming Ming Lai - In: Malaysian journal of economic studies 55 (2018) 2, pp. 285-300

Persistent link: https://www.econbiz.de/10011989700

Putting a price tag on temperature

Xiong, Heng; Mamon, Rogemar - In: Computational Management Science : CMS 15 (2018) 2, pp. 259-296

Persistent link: https://www.econbiz.de/10011876585

Equilibrium commodity prices with irreversible investment and non-linear technologies

Casassus, Jaime; Collin-Dufresne, Pierre; Routledge, … - In: Journal of banking & finance 95 (2018), pp. 128-147

Persistent link: https://www.econbiz.de/10011966725

Regime-switching business cycle synchronization in the ASEAN

Yuthana Sethapramote; Athakrit Thepmongkol - In: DLSU business & economics review 27 (2017/2018) 2, pp. 75-87

Persistent link: https://www.econbiz.de/10011948624