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A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014229238
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Quantile hedging for equity-linked life insurance contracts in a stochastic interest rate economy
Gao, Quansheng; He, Ting; Zhang, Chi - In: Economic modelling 28 (2011) 1/2, pp. 147-156
Persistent link: https://www.econbiz.de/10009270040
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A regime-switching model of stock returns with momentum and mean reversion
Giner, Javier; Zakamulin, Valeriy - In: Economic modelling 122 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014388630
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Testing volatility persistence on Markov switching stochastic volatility models
Pan, Qi; Li, Yong - In: Economic modelling 35 (2013), pp. 45-50
Persistent link: https://www.econbiz.de/10010258578
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Long memory and regime switching properties of current account deficits in the US
Chen, Shyh-wei - In: Economic modelling 35 (2013), pp. 78-87
Persistent link: https://www.econbiz.de/10010258949
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Wavelet based outlier correction for power controlled turning point detection in surveillance systems
Li, Yushu - In: Economic modelling 30 (2013), pp. 317-321
Persistent link: https://www.econbiz.de/10009703641
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A multivariate innovations state space BeveridgeNelson decomposition
De Silva, Ashton; Hyndman, Rob J.; Snyder, Ralph D. - In: Economic modelling 26 (2009) 5, pp. 1067-1074
Persistent link: https://www.econbiz.de/10003871265
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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks
Hsu, Yuan-Lin; Lin, Shih-kuei; Hung, Ming-Chin; Huang, … - In: Economic modelling 54 (2016), pp. 260-275
Persistent link: https://www.econbiz.de/10011642172
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A dynamic Nelson-Siegel yield curve model with Markov switching
Levant, Jared; Ma, Jun - In: Economic modelling 67 (2017), pp. 73-87
Persistent link: https://www.econbiz.de/10011813779
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Modelling persistent stationary processes in continuous time
Jeong, Minsoo - In: Economic modelling 109 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013348235