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  • Search: subject:"Regime Switching Model"
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Year of publication
Subject
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Markov chain 125 Markov-Kette 124 Schätzung 82 Estimation 77 Theorie 68 Theory 67 regime switching model 55 Volatility 54 Volatilität 53 Regime-switching model 51 Markov regime-switching model 38 regime-switching model 35 Capital income 32 Kapitaleinkommen 32 Time series analysis 27 Zeitreihenanalyse 27 Börsenkurs 26 Aktienmarkt 25 Stock market 25 Markov regime switching model 24 Share price 24 ARCH-Modell 23 ARCH model 22 Business cycle 20 Konjunktur 19 Option pricing theory 18 Optionspreistheorie 18 Regime switching model 18 USA 17 Stochastic process 16 Stochastischer Prozess 16 United States 16 Welt 16 World 16 CAPM 15 Deutschland 15 Portfolio selection 15 Portfolio-Management 15 Exchange rate 14 Wechselkurs 14
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Online availability
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Undetermined 127 Free 93 CC license 9
Type of publication
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Article 213 Book / Working Paper 77 Other 1
Type of publication (narrower categories)
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Article in journal 147 Aufsatz in Zeitschrift 147 Working Paper 41 Graue Literatur 35 Non-commercial literature 35 Arbeitspapier 31 Article 10 Hochschulschrift 8 Aufsatz im Buch 7 Book section 7 Thesis 7 research-article 4 Aufsatzsammlung 1 Collection of articles of several authors 1 Conference paper 1 Konferenzbeitrag 1 Sammelwerk 1 Systematic review 1 Übersichtsarbeit 1
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Language
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English 225 Undetermined 60 German 5 Korean 1
Author
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Bauer, Thomas K. 5 Bonin, Holger 5 Diebold, Francis X. 5 Sunde, Uwe 5 Ahrens, Ralf 4 Bilgili, Faik 4 Dias, José G. 4 Doğan, İbrahim 4 Janczura, Joanna 4 Lanne, Markku 4 Luetkepohl, Helmut 4 Mittnik, Stefan 4 Nielsen, Steen 4 Paraschiv, Florentina 4 Piger, Jeremy Max 4 Weron, Rafal 4 Wilfling, Bernd 4 Audrino, Francesco 3 Chan, Leunglung 3 Chen, Fei 3 De Grauwe, Paul 3 Fic, Tatiana 3 Fleten, Stein-Erik 3 Ghate, Chetan 3 Kim, Young Shin 3 Kriwoluzky, Alexander 3 Müller, Gernot J. 3 Nakajima, Jouchi 3 Nguyen, Duc Khuong 3 Nilsson, Birger 3 Ramos, Sofia B. 3 Schorfheide, Frank 3 Schürle, Michael 3 Trueck, Stefan 3 Vansteenkiste, Isabel 3 Wolf, Martin 3 Zhu, Song-Ping 3 Abid, Fathi 2 Aliyu, Shehu U. R. 2 Atukeren, Erdal 2
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Institution
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Department of Economics, European University Institute 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Bank of Japan 1 Birkbeck, Department of Economics, Mathematics & Statistics 1 Brown University / Department of Economics 1 C.E.P.R. Discussion Papers 1 CESifo 1 Center for Financial Studies 1 Centre de Recherche en Économie Appliquée (CREA), Faculté de droit, d'économie et de finance 1 Department of Economics, University of Pennsylvania 1 EconWPA 1 Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Erasmus University Rotterdam, Econometric Institute 1 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 1 Federal Reserve Bank of St. Louis 1 Forschungsinstitut zur Zukunft der Arbeit 1 HAL 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 Institut for Nationaløkonomi <Kopenhagen> 1 Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät 1 Konjunkturinstitutet, Government of Sweden 1 Lunds Universitet / Nationalekonomiska Institutionen 1 Nationalekonomiska Institutionen, Ekonomihögskolan 1 Rheinisch-Westfälisches Institut für Wirtschaftsforschung 1 School of Economics and Finance <Brisbane> 1 School of Economics and Political Science, Universität St. Gallen 1 School of Finance, Universität St. Gallen 1 Université de Genève / Institut de hautes études internationales 1
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Published in...
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Economic modelling 10 Economic Modelling 7 Applied economics 6 The European journal of finance 4 Cogent economics & finance 3 Economics Working Papers / Department of Economics, European University Institute 3 Energy economics 3 International Journal of Theoretical and Applied Finance (IJTAF) 3 International journal of financial engineering 3 Journal of econometrics 3 MPRA Paper 3 Applied mathematical finance 2 Asia-Pacific Financial Markets 2 China Finance Review International 2 Cogent Economics & Finance 2 Discussion papers in economics 2 Essays in financial markets 2 Global business & economics review 2 HWWA discussion paper 2 Insurance / Mathematics & economics 2 International Econometric Review (IER) 2 International journal of economics and finance 2 International journal of finance & economics : IJFE 2 International journal of theoretical and applied finance 2 International review of economics & finance : IREF 2 Journal for Economic Forecasting 2 Journal of Applied Statistics 2 Journal of Econometrics 2 Journal of economic behavior & organization : JEBO 2 Journal of economic dynamics & control 2 Journal of forecasting 2 Journal of international financial markets, institutions & money 2 Mathematics and financial economics 2 Review of quantitative finance and accounting 2 Studies in Nonlinear Dynamics & Econometrics 2 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 2 The North American journal of economics and finance : a journal of financial economics studies 2 Working paper 2 Working papers / Bank for International Settlements 2 African Journal of Economic and Management Studies 1
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Source
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ECONIS (ZBW) 196 RePEc 70 EconStor 20 Other ZBW resources 4 BASE 1
Showing 281 - 290 of 291
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Modeling the dividend-price ratio : the role of economic fundamentals using a regime-switching approach
Nielsen, Steen - In: Essays in financial markets, (pp. 104-143). 2000
Persistent link: https://www.econbiz.de/10001591919
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Instrumental-variables estimation in Markov switching models, with an application to testing the unbiased forward exchange rate hypothesis
Spagnolo, Fabio; Psaradakis, Zacharias G.; Sola, Martin - 2000
Persistent link: https://www.econbiz.de/10001583871
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Essays on currency crises and exchange rate expectations
Kajanoja, Lauri - 2000
Persistent link: https://www.econbiz.de/10001565241
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A simple regime switching term structure model
Hansen, Asbjørn Trolle; Poulsen, Rolf - In: Finance and stochastics 4 (2000) 4, pp. 409-429
Persistent link: https://www.econbiz.de/10001539190
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Marktbasierte Zinsprognosen mit Regime-Switching-Modellen
Ahrens, Ralf - 2000
Aufgrund der einzel- und gesamtwirtschaftlichen Relevanz von Zinsänderungen ist das Interesse an Zinsprognosen traditionell sehr groß. Dennoch finden sich in der wissenschaftlichen Literatur nur relativ wenige Studien, welche die Prognosegüte ökonometrischer Verfahren "out of sample"...
Persistent link: https://www.econbiz.de/10011402042
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Estimating continuous-time models of the spot interest rate
Hurn, Stan; Lindsay, Kenneth A. - 1999
Persistent link: https://www.econbiz.de/10001517913
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The effect of interventions on realignment probabilities
Mundaca, B. Gabriela - 1999
Persistent link: https://www.econbiz.de/10001441499
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Regimewechselmodelle : mit einer empirischen Untersuchung von Wechselkursen im Europäischen Währungssystem
Knüpling, Frieder - 1999
Persistent link: https://www.econbiz.de/10001399040
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Essays in GARCH and regime switching models : some applications to financial markets
Santos, André Oliveira - 1999
Persistent link: https://www.econbiz.de/10001678390
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A Hidden Markov Model as a Dynamic Bayesian Classifier, With an Application to Forecasting Business-Cycle Turning Points
Koskinen, Lasse; Öller, Lars-Erik - Konjunkturinstitutet, Government of Sweden - 1998
regime-switching model is used in classification. Past regimes are determined in advance and characterized by first and …
Persistent link: https://www.econbiz.de/10005423899
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