Search Results - subject:"Regime Switching Model"

Option pricing and hedging under a stochastic volatility Lévy process model

Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; … - In: Review of derivatives research 15 (2012) 1, pp. 81-97

Persistent link: https://www.econbiz.de/10009627431

The Welfare State, Thresholds, and Economic Growth

Fic, Tatiana; Ghate, Chetan - 2004

Can a growing welfare state induce a regime switch in the growth rate of an economy? This paper constructs a dynamic political economy model of economic growth and the welfare state in which both variables are non-linearly related and jointly endogenous. Using a Markov switching framework over...

Persistent link: https://www.econbiz.de/10010260719

Real and Nominal Wage Rigidities and the Rate of Inflation: Evidence from West German Micro Data

Bauer, Thomas K.; Bonin, Holger; Sunde, Uwe - 2004

The paper examines real and nominal wage rigidities.We estimate a switching regime model, in which the observed distribution of individual wage changes, computed from West German register data for 1976-1997, is generated by simultaneous processes of real, nominal or no wage rigidity, and...

Persistent link: https://www.econbiz.de/10010261017

Real and nominal wage rigidities and the rate of inflation : evidence from West German micro data

Bauer, Thomas K. (contributor); Bonin, Holger (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001956441

The welfare state, thresholds, and economic growth

Fic, Tatiana (contributor); Ghate, Chetan (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002099269

Real and nominal wage rigidities and the rate of inflation : evidence from West German micro data

Bauer, Thomas K.; Bonin, Holger; Sunde, Uwe - 2003

The paper examines real and nominal wage rigidities. We estimate a switching regime model, in which the observed distribution of individual wage changes, computed from West German register data for 1976-1997, is generated by simultaneous processes of real, nominal or no wage rigidity, and...

Persistent link: https://www.econbiz.de/10010271824

Heterogeneous expectations in the foreign exchange market : evidence from the daily dollar/DM exchange rate

Ahrens, Ralf; Reitz, Stefan - 2003

Persistent link: https://www.econbiz.de/10001768495

Real and nominal wage rigidities and the rate of inflation : evidence from West German micro data

Bauer, Thomas K. (contributor); Bonin, Holger (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001869625

Business cycle phases in U.S. states

Owyang, Michael T. (contributor); … - 2003 - [Elektronische Ressource], rev

phases. We apply a regime-switching model to state-level coincident indexes to characterize state business cycles in this … the Markov regime-switching model of Hamilton (1989). Hamilton specifies a parametric time-series model in which the mean … the state and regional level. To remedy this, we use a regime-switching model and the state coincident index data of …

Persistent link: https://www.econbiz.de/10001979872

A segmented regime-switching model with its application to stock market indices

Guo, Beibei; Wu, Yuehua; Xie, Hong; Miao, Baiqi - In: Journal of Applied Statistics 38 (2011) 10, pp. 2241-2252

This paper evaluates the ability of a Markov regime-switching log-normal (RSLN) model to capture the time-varying features of stock return and volatility. The model displays a better ability to depict a fat tail distribution as compared with using a log-normal model, which means that the RSLN...

Persistent link: https://www.econbiz.de/10009279002