Search Results - subject:"Regime Switching Model"

Valuation of guaranteed minimum maturity benefits under generalised regime-switching models using the Fourier Cosine method

Kang, Boda; Shen, Yang; Zhu, Dan; Ziveyi, Jonathan - In: Insurance / Mathematics & economics 105 (2022), pp. 96-127

Persistent link: https://www.econbiz.de/10013348971

Optimal carry trade portfolio choice under regime shifts

Chen, Chih-Nan; Lin, Chien-Hsiu - In: Review of quantitative finance and accounting 59 (2022) 2, pp. 483-506

Persistent link: https://www.econbiz.de/10013459294

Measuring trend inflation in India

Kumar Behera, Harendra; Patra, Michael Debabrata - In: Journal of Asian economics 80 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013431639

Regime shifts in a long-run risks model of stock and treasury bond markets

Li, Kai; Xu, Chenjie - In: China finance review international 12 (2022) 4, pp. 541-570

Persistent link: https://www.econbiz.de/10013453608

Forecasting the bear stock market using the aligned index of financial and macroeconomic variables

Gau, Ying-Feng; Liang, Ko-Chin - In: Journal of financial studies : JFS : the official … 30 (2022) 2, pp. 1-40

Persistent link: https://www.econbiz.de/10013464387

The effect of economic policy uncertainty index on the Indian economy in the wake of COVID-19 pandemic

Ghosh, Raktim; Bagchi, Bhaskar; Chatterjee, Susmita - In: Journal of Economic and Administrative Sciences 40 (2022) 3, pp. 591-604

volatility of selected variables over the study period across a multivariate framework and Markov regime-switching model to … COVID-19. The results of Markov regime-switching model show the variables make a significant move from low-volatility regime … regime switching model makes the study an innovative one in terms of methodology and findings. …

Persistent link: https://www.econbiz.de/10015349676

The Time Variation of Liquidity Risk on US Stock Markets

Ludwig, Michael - In: Credit and Capital Markets – Kredit und Kapital 51 (2018) 2, pp. 205-225

The influence of liquidity costs and liquidity risk on asset returns has been proven by several empirical studies. This paper analyzes the conditional version of the liquidity-adjusted capital asset pricing model and shows that betas significantly vary over different economic regimes and that...

Persistent link: https://www.econbiz.de/10014522095

The negative interest rate policy and the yield curve

Wu, Jing Cynthia; Xia, Fan Dora - 2018 - This draft: February 2018

Persistent link: https://www.econbiz.de/10011866748

Asymmetric effects on risks of Virtual Financial Assets (VFAs) in different regimes : a case of Bitcoin

Li, Zhenghui; Dong, Hao; Huang, Zhehao; Failler, Pierre - In: Quantitative finance and economics 2 (2018) 4, pp. 860-883

Persistent link: https://www.econbiz.de/10012176121

Dynamic commodity portfolio management : a regime-switching VAR model

Singhal, Shelly; Biswal, Pratap Chandra - In: Global business review 22 (2021) 2, pp. 532-549

Persistent link: https://www.econbiz.de/10012520247