This paper introduces Bai-Perron structural break detection combined with negative binomial regression to model … six distinct regimes, each with fundamentally different variance characteristics. We then employ negative binomial … negative binomial model reveals that market uncertainty (as measured by the VIX) and financing costs (as indicated by 10-year …

preferences, which may deviate from risk neutrality. Unlike the traditional binomial tree models - strictly under the risk … attitudes toward risk while preserving the arbitrage-free pricing rule.The model extends the multiplicative binomial …/diffusion terms - to reflect the investor's degree of risk aversion. The classical Cox-Ross-Rubinstein binomial tree (CRR) emerges as …

. Using a longitudinal panel of 15 countries from 2000 to 2023, the analysis integrates a Fixed-Effects Negative Binomial …

joint likelihood function formed by Poisson binomial distributions. When directly maximizing the complicated likelihood …