Search Results - subject:"Regime Switching Models"

Measuring and predicting heterogeneous recessions

Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011

Persistent link: https://www.econbiz.de/10009720726

An explanation of spread’s ability to predict economic activity : A regime switching model

Evgenidis, Anastasios; Siriopoulos, Costas - In: Journal of Economic Studies 43 (2016) 3, pp. 488-503

. For this reason the authors nest GARCH models into Markov regime switching models. Findings – When the authors assume that …

Persistent link: https://www.econbiz.de/10014864571

A recombining tree method for option pricing with state-dependent switching rates

Jiang, J. X.; Liu, Rui Hua; Nguyen, D. - In: International journal of theoretical and applied finance 19 (2016) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10011455022

An explanation of spread's ability to predict economic activity : a regime switching model

Evgenidis, Anastasios; Siriopoulos, Costas - In: Journal of economic studies 43 (2016) 3, pp. 488-503

Persistent link: https://www.econbiz.de/10011690205

Gauging liquidity risk in emerging market bond index funds

Darolles, Serge; Dudek, Jérémy; LeFol, Gaëlle - In: Annals of economics and statistics 123/124 (2016), pp. 247-269

Persistent link: https://www.econbiz.de/10011592748

Convergence rates of recombining trees for pricing options on stocks under GBM and regime-switching models with known cash dividends

Ma, Jingtang; Fan, Jiacheng - In: The North American journal of economics and finance : a … 37 (2016), pp. 128-147

Persistent link: https://www.econbiz.de/10011672905

Does consumer confidence affect durable goods spending during bad and good economic times equally?

Ahmed, M. Iqbal; Cassou, Steven Peter - In: Journal of macroeconomics 50 (2016), pp. 86-97

Persistent link: https://www.econbiz.de/10011707869

Negative price spikes at power markets : the role of energy policy

Gerster, Andreas - In: Journal of regulatory economics 50 (2016) 3, pp. 271-289

Persistent link: https://www.econbiz.de/10011669942

Does Disagreement amongst Forecasters have Predictive Value?

Legerstee, Rianne; Franses, Philip Hans - 2010

Markov regime-switching models with constant and with time-varying transition probabilities are constructed in real-time and … improve forecasts when used in Markov regime-switching models. …

Persistent link: https://www.econbiz.de/10010326050

Does Disagreement amongst Forecasters have Predictive Value?

Legerstee, Rianne; Franses, Philip Hans - Tinbergen Instituut - 2010

Markov regime-switching models with constant and with time-varying transition probabilities are constructed in real-time and … improve forecasts when used in Markov regime-switching models. …

Persistent link: https://www.econbiz.de/10011257584

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