Search Results - subject:"Regime Switching Model"

Expected utility of the drawdown-based regime-switching risk model with state-dependent termination

Landriault, David; Li, Bin; Li, Shu - In: Insurance / Mathematics & economics 79 (2018), pp. 137-147

Persistent link: https://www.econbiz.de/10011825424

Regime-switching model on hourly electricity spot price dynamics

Gyamerah, Samuel Asante; Ngare, Philip - In: Journal of mathematical finance 8 (2018) 1, pp. 102-110

Persistent link: https://www.econbiz.de/10011846143

Idiosyncratic volatility, conditional liquidity and stock returns

Malagon, Juliana; Moreno, David; Rodríguez, Rosa - In: International review of economics & finance : IREF 53 (2018), pp. 118-132

Persistent link: https://www.econbiz.de/10011791727

A hybrid Markov chain-tree valuation framework for stochastic volatility jump diffusion models

Nguyen, Duy - In: International journal of financial engineering 5 (2018) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10012028829

The time variation of liquidity risk in US stock markets

Ludwig, Michael - In: Credit and capital markets : Kredit und Kapital 51 (2018) 2, pp. 205-225

Persistent link: https://www.econbiz.de/10011946201

A hidden Markov regime-switching smooth transition model

Elliott, Robert J.; Siu, Tak Kuen; Lau, John W. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10011965140

Continuous time regime switching model applied to foreign exchange rate.

Goutte, Stéphane; Zou, Benteng - HAL - 2012

Modified Cox-Ingersoll-Ross model is employed, combining with Hamilton (1989) type Markov regime switching framework, to study foreign exchange rates, where all parameter values depend on the value of a continuous time Markov chain. Basing on real data of some foreign exchange rates, the...

Persistent link: https://www.econbiz.de/10009422114

Estimation and optimization problems in power markets

Jensen, Katrin - 2012

Persistent link: https://www.econbiz.de/10009670512

Does access to credit improve household welfare? Evidence from Ethiopia using endogenous regime switching regression

Bocher, Temesgen Fitamo; Alemu, Bamlaku Alamirew; … - In: African Journal of Economic and Management Studies 8 (2017) 1, pp. 51-65

variable is measured by the food security indicator and total food expenditure. The study employs endogenous Regime Switching … model to account for endogeneity in access to credit and self-selection bias in the decision to participate in credit …

Persistent link: https://www.econbiz.de/10014668602

Does access to credit improve household welfare? : evidence from Ethiopia using endogenous regime switching regression

Bocher, Temesgen Fitamo; Bamlaku Alamirew Alemu; … - In: African journal of economic and management studies : AJEMS 8 (2017) 1, pp. 51-65

Persistent link: https://www.econbiz.de/10011699193