Search Results - subject:"Regime Switching Model"

A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS

LIU, R. H. - In: International Journal of Theoretical and Applied … 17 (2014) 04, pp. 1450027-1

This paper is concerned with a finite-horizon optimal investment and consumption problem in continuous-time regime-switching models. The market consists of one bond and n ≥ 1 correlated stocks. An investor distributes his/her wealth among these assets and consumes at a non-negative rate. The...

Persistent link: https://www.econbiz.de/10011011301

Calendar anomalies in cash and stock index futures: International evidence

Floros, Christos; Salvador, Enrique - In: Economic Modelling 37 (2014) C, pp. 216-223

This paper examines calendar anomalies (day-of-the-week and monthly seasonal effects) in cash and stock index futures returns. We consider daily data from FTSE100 (UK), FTSE/ASE-20 (Greece), S&P500 (US) and Nasdaq100 (US) spot and future indexes over the period 2004–2011. We employ a...

Persistent link: https://www.econbiz.de/10010744006

Financial instability and the short-term dynamics of volatility expectations

Maghrebi, Nabil; Holmes, Mark J.; Oya, Kosuke - In: Applied financial economics 24 (2014) 4/6, pp. 377-395

Persistent link: https://www.econbiz.de/10010399697

Analysis on recent changes in the covered interest rate parity condition

Kim, Jung Sung; Kang, Kyu Ho - In: Han gug gae bal yeon gu 36 (2014) 2, pp. 103-136

Persistent link: https://www.econbiz.de/10010378386

Pricing electricity derivatives within a Markov regime-switching model : a risk premium approach

Janczura, Joanna - In: Mathematical methods of operations research 79 (2014) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10010347963

Calendar anomalies in cash and stock index futures : international evidence

Floros, Christos; Salvador, Enrique - In: Economic modelling 37 (2014), pp. 216-223

Persistent link: https://www.econbiz.de/10010417707

The non-linear impact of high and growing government external debt on economic growth : a Markov Regime-switching approach

Doğan, İbrahim; Bilgili, Faik - In: Economic modelling 39 (2014), pp. 213-220

Persistent link: https://www.econbiz.de/10010421857

Research note: a study of the business cycle of the hotel industry in Taiwan

Chen, Ming-hsiang; Wu, Kun Lun; Su, Hung-jen - In: Tourism economics : the business and finance of tourism … 20 (2014) 3, pp. 655-664

Persistent link: https://www.econbiz.de/10010466729

Regime-switching behaviour in the conditional volatility of MENA stock market returns

Bahloul, Slah; Abid, Fathi - In: Journal of emerging market finance 13 (2014) 3, pp. 253-278

Persistent link: https://www.econbiz.de/10010492033

Monetary policy regimes : implications for the yield curve and bond pricing

Filipova, Kameliya; Audrino, Francesco; De Giorgi, Enrico - In: Journal of financial economics 113 (2014) 3, pp. 427-454

Persistent link: https://www.econbiz.de/10010495817