Search Results - subject:"Transition Probability"

A risk-sensitive approach for stressed transition probability matrixes

Perilioglu, Ahmet; Perilioglu, Karina; Tuysuz, Sukriye - In: The journal of risk model validation 12 (2018) 3, pp. 51-74

Persistent link: https://www.econbiz.de/10011991970

On symmetric stochastic games of resource extraction with weakly continuous transitions

Jaśkiewicz, Anna; Nowak, Andrzej S. - In: Top : transactions in operations research 26 (2018) 2, pp. 239-256

Persistent link: https://www.econbiz.de/10011889517

State dependence, individual heterogeneity, and the choice of employment status : evidence from Korea

Lee, Ki-dong; Lee, Seo-Hyeong; Choe, Jong-Il - In: Applied economics 50 (2018) 8, pp. 824-837

Persistent link: https://www.econbiz.de/10011848167

Transition probability of Brownian motion in the octant and its application to default modelling

Kaushansky, Vadim; Lipton, Alexander; Reisinger, Christoph - In: Applied mathematical finance 25 (2018) 5/6, pp. 434-465

Persistent link: https://www.econbiz.de/10012129173

Modeling dynamics of short-term international capital flows in China : a Markov regime switching approach

Ning, Ye; Zhang, Lingxiang - In: The North American journal of economics and finance : a … 44 (2018), pp. 193-203

Persistent link: https://www.econbiz.de/10012036534

Robust and consistent estimation of generators in credit risk

Reis, Gonçalo dos; Smith, Greig - In: Quantitative finance 18 (2018) 6, pp. 983-1001

Persistent link: https://www.econbiz.de/10011911257

A Markov regime-switching model with time-varying transition probabilities for identifying asset price bubbles

Higgins, Matthew Lawrence; Ofori-Acheampong, Frank - In: International journal of economics and finance 10 (2018) 4, pp. 1-14

Persistent link: https://www.econbiz.de/10011859905

Adjusting the U.S. Fiscal Policy for Asset Prices: Evidence from a TVP-MS Framework

Agnello, Luca; Dufrénot, Gilles; Sousa, Ricardo M. - Núcleo de Investigação em Políticas Económicas … - 2012

taxes as time-varying transition probability (TVTP) Markovian processes, we find that taxes significantly adjust in a …

Persistent link: https://www.econbiz.de/10010897792

Smoothing transition probability matrices under a risk sensitive approach

Perilioglu, Ahmet; Perilioglu, Karina - In: Journal of risk management in financial institutions 10 (2016/2017) 4, pp. 395-411

Persistent link: https://www.econbiz.de/10011753968

Structural stochastic volatility in asset pricing dynamics: Estimation and model contest

Franke, Reiner; Westerhoff, Frank - 2011

In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It...

Persistent link: https://www.econbiz.de/10010304673

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