Search Results - subject:"Regime-switching model"

Examining Chinese volume-volatility nexus : a regime-switching perspective

Wang, Zhenxin; Wang, Shaoping; Yan, Yayi; Xia, Yingcun - In: Economic modelling 144 (2025), pp. 1-12

Persistent link: https://www.econbiz.de/10015195150

Assessing the regime-switching role of risk mitigation measures on agricultural vulnerability : a threshold analysis

Wen, Xiaojie; Mennig, Philipp; Sauer, Johannes - In: Ecological economics 227 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015175513

Does regime-dependent volatility drive dynamism in investor herding?

Jindal, Komal; Bamba, Meera; Aggarwal, Mamta - In: Colombo business journal : international journal of … 15 (2024) 1, pp. 54-79

Persistent link: https://www.econbiz.de/10015210672

Asset purchases in a monetary union with default and liquidity risks

Bi, Huixin; Foerster, Andrew; Traum, Nora - 2024

Persistent link: https://www.econbiz.de/10015199426

Macroeconomic determinants of the JSE size-base industries connectedness : evidence from changing market conditions

Lawrence, Babatunde; Moodley, Fabian; Ferreira-Schenk, Sune - In: Cogent economics & finance 12 (2024) 1, pp. 1-15

to examine the time-varying connectedness and using the Markov regime-switching model to determine the drivers of the …

Persistent link: https://www.econbiz.de/10015337815

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/10014486055

On regime-switching European option pricing

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

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

Persistent link: https://www.econbiz.de/10015074839

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

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