Search Results - subject:"Regime Switching Model"

Analyzing and forecasting electricity price using regime-switching models : the case of New Zealand market

Kapoor, Gaurav; Wichitaksorn, Nuttanan; Zhang, WenJun - In: Journal of forecasting 42 (2023) 8, pp. 2011-2026

Persistent link: https://www.econbiz.de/10014432832

On regime-switching European option pricing

Kalovwe, Sebastian Kaweto; Mwaniki, Joseph Ivivi; … - In: Cogent economics & finance 11 (2023) 1, pp. 1-19

The concern of this article is to derive a regime switching model that can be utilized to price European call options … the market prices than that of the regime-switching model across the two markets. Therefore, the Black-Scholes model …

Persistent link: https://www.econbiz.de/10014500787

Estimating trend inflation in a regime-switching Phillips curve

Nakajima, Jouchi - 2023

Persistent link: https://www.econbiz.de/10014448472

Understand funding liquidity and market liquidity in a regime-switching model

Chen, Louisa; Shen, Liya; Zhou, Zhiping - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 589-605

Persistent link: https://www.econbiz.de/10014253239

Direct and indirect impacts of oil price shocks on Ecuador's economic cycles (2000:01-2020:01)

Martín Mayoral, Fernando; Carvajal, Alexander - In: Estudios de economía 50 (2023) 2, pp. 379-412

We analyse the non-linear relationship between oil price shocks and the real business cycle in Ecuador, a dollarized economy where oil exports are the country's main source of foreign exchange. We estimate several autoregressive Markov switching models for the period 2000:01-2020:01 to identify...

Persistent link: https://www.econbiz.de/10014450844

Modelling time-varying heterogeneity in panel data as regime-switching

Beccarini, Andrea; Kempa, Bernd - In: Annals of economics and statistics 151 (2023), pp. 81-120

Persistent link: https://www.econbiz.de/10015403390

Construction and analysis of regional financial stability index in China : regional system status, difference measure and spatio-temporal variation

Wang, Jinsong; Wu, Wenhui - 2025

Persistent link: https://www.econbiz.de/10015398475

Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation

Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of Risk and Financial Management 15 (2022) 5, pp. 1-23

This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) to accommodate fat tails, volatility...

Persistent link: https://www.econbiz.de/10014332431

Investigating the effects of selected macroeconomic variables on Istanbul stock market return through applying Markov Regime Switching Model

Heidari, Hassan; Dadashzadeh-Rishekani, Parinaz - In: Iranian economic review : journal of University of Tehran 26 (2022) 4, pp. 783-790

Persistent link: https://www.econbiz.de/10013531070

Portfolio optimization on multivariate regime-switching garch model with normal tempered stable innovation

Peng, Cheng; Kim, Young Shin; Mittnik, Stefan - In: Journal of risk and financial management : JRFM 15 (2022) 5, pp. 1-23

Persistent link: https://www.econbiz.de/10013273511