Search Results - subject:"Regime Switching Model"

An explicit analytic formula for pricing barrier options with regime switching

Chan, Leunglung; Zhu, Song-Ping - In: Mathematics and financial economics 9 (2015) 1, pp. 29-37

Persistent link: https://www.econbiz.de/10010500699

A spot-forward model for electricity prices with regime shifts

Paraschiv, Florentina; Fleten, Stein-Erik; Schürle, Michael - In: Energy economics 47 (2015), pp. 142-153

Persistent link: https://www.econbiz.de/10011527263

Examining the Korean inbound tourism market cycle : a Markov regime-switching model

Chen, Ming-Hsiang; Lin, Chien-Pang; Cheng, Ming-Chang; … - In: Tourism analysis : an interdisciplinary tourism & … 20 (2015) 5, pp. 551-557

Persistent link: https://www.econbiz.de/10011412936

Responses of international stock markets to oil price surges : a regime-switching perspective

Jammazi, Rania; Nguyen, Duc Khuong - In: Applied economics 47 (2015) 40/42, pp. 4408-4422

Persistent link: https://www.econbiz.de/10011295360

Trade credit, bank credit and profits : evidence from Indian manufacturing firms

Gautam, Vikash; Vaidya, Rajendra R. - In: Business and Economic Research : BER 5 (2015) 1, pp. 145-165

Persistent link: https://www.econbiz.de/10011344238

Optimal credit allocation under regime uncertainty with sensitivity analysis

Bernis, Guillaume; Carassus, Laurence; Docq, Grégoire; … - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011403164

The asymmetric effects of official interest rate changes on China's stock market during different market regimes

Lv, Xin; Dong, Weijia; Fang, Fang - In: Emerging markets finance & trade : a journal of the … 51 (2015) 4, pp. 826-841

Persistent link: https://www.econbiz.de/10011404621

Macroeconomic stress, equity market liquidity spirals and Markov regime switching

Mishra, Ajay Kumar; Tripathy, Trilochan - In: International journal of economics and finance 7 (2015) 6, pp. 179-192

Persistent link: https://www.econbiz.de/10011292356

An evaluation of departure throughputs before and after the implementation of wake vortex recategorization at Atlanta Hartsfield/Jackson International Airport : a Markov regime-switching approach

Diana, Tony - In: Transportation research / E : an international journal 83 (2015), pp. 216-224

Persistent link: https://www.econbiz.de/10011411765

Stock prices and economic fluctuations: a Markov switching structural vector autoregressive analysis

Lanne, Markku; Luetkepohl, Helmut - 2008

The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi-variate...

Persistent link: https://www.econbiz.de/10010264444