Search Results

Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment,
Kyongwook Choi and Shawkat Hammoudeh, in Energy Policy (2010)
Keywords: Commodities Volatility Regime switching

RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING,
Emilio Barucci and Daniele Marazzina, in International Journal of Theoretical and Applied Finance (IJTAF) (2015)
Keywords: Regime switching, bonus, remuneration, investment

Regime Switching: Evidence for the French Stock Market,
Michael Rockinger, from HAL (1994)
Keywords: Regime Switching,French Stock Market

EUAs and CERs: Interactions in a Markov regime-switching environment,
Julien Chevallier, in Economics Bulletin (2012)
Keywords: EUA, CER, Markov regime-switching

A generalization of Ramsey rule on discount rate with regime switching,
Seyoung Park, in Economics Letters (2018)
Keywords: Discount rate; Regime switching; Equilibrium;

Switching Regime Models: applications to trading rules,
Nuno Almeida and Pedro Valls Pereira, from Society for Computational Economics (2002)
Keywords: Switching Regime; SWGARCH; Trading Rules

Indeterminacy in a Forward Looking Regime Switching Model,
Roger Farmer, Tao Zha and ,, from C.E.P.R. Discussion Papers (2006)
Keywords: Indeterminacy; Regime switching; Taylor principle

INVESTMENT TIMING UNDER REGIME SWITCHING,
Robert J. Elliott, Hong Miao and Jin Yu, in International Journal of Theoretical and Applied Finance (IJTAF) (2009)
Keywords: Regime switching, real option, investment timing

Pricing swing options with regime switching,
M. Wahab and Chi-Guhn Lee, in Annals of Operations Research (2011)
Keywords: Swing options, Regime-switching process, Lattice approach,

Stability of regime-switching diffusions,
R.Z. Khasminskii, C. Zhu and G. Yin, in Stochastic Processes and their Applications (2007)
Keywords: Regime-switching diffusion Stability Necessary condition Sufficient condition

Testing for Regime Switching: A Comment,
Andrew V Carter and Douglas Steigerwald, from Department of Economics, UC Santa Barbara (2010)
Keywords: consistent, Markov regime switching, quasi-maximum likelihood, Social and Behavioral Sciences

A conditional regime switching CAPM,
Vasco Vendrame, Cherif Guermat and Jon Tucker, in International Review of Financial Analysis (2018)
Keywords: Asset pricing; Conditional CAPM; Regime-switching; Bull market; Bear market;

The Regime Switching Portfolios,
Hiroshi Ishijima and Masaki Uchida, in Asia-Pacific Financial Markets (2011)
Keywords: Markov switching model, Continuous-and discrete-time regime switching, Log mean-variance, Portfolio selection, EM algorithm,

Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model,
Yanlin Shi and Kin-Yip Ho, in Journal of Banking & Finance (2015)
Keywords: Long memory; Regime switching; ARFIMA; Markov Regime-Switching ARFIMA;

A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL,
Robert J. Elliott, Leunglung Chan and Tak Kuen Siu, in International Journal of Theoretical and Applied Finance (IJTAF) (2015)
Keywords: Regime-switching local volatility model, Esscher transform, forward equations, regime-switching adjoint formula

El ciclo económico en Uruguay - Un modelo de Switching Regimes,
Alejandro R. Pena Sanchez, from Econometric Society (2004)
Keywords: Business Cycles, Regime Switching.

DEPRESSIONS IN THE COLOMBIAN ECONOMIC GROWTH DURING THE XX CENTURY:A MARKOV SWITCHING REGIME MODEL,
Martha Misas and Maria Ramirez-Giraldo, from Banco de la Republica (2005)
Keywords: Markov switching regime model,

Assessing Changes in U.S. Monetary Policy in a Regime-Switching Rational Expectations Model,
Roger Farmer, Tao Zha and Daniel Waggoner, from Society for Economic Dynamics (2006)
Keywords: Regime switching, Rational expectations

Regime-Switching in Emerging Stock Market Returns,
Kodjovi G. Assoe, in Multinational Finance Journal (1998)
Keywords: emerging markets; regime-switching; international investment

Selection Criteria in Regime Switching Conditional Volatility Models,
Thomas Chuffart, from HAL (2013)
Keywords: regime switching,conditional volatility,model selection,GARCH

Selection Criteria in Regime Switching Conditional Volatility Models,
Thomas Chuffart, from HAL (2015)
Keywords: conditional volatility,GARCH,model selection,regime switching

Selection Criteria in Regime Switching Conditional Volatility Models,
Thomas Chuffart, in Econometrics (2015)
Keywords: conditional volatility; model selection; GARCH; regime switching

Estimating Taylor Rules with Markov Switching Regimes for Turkey,
Özge Filiz Yağcibaşi and Mustafa Ozan Yildirim, in Journal for Economic Forecasting (2019)
Keywords: monetary policy, Taylor rule, regime switching

Optimal harvesting of a stochastic mutualism model with regime-switching,
Meng Liu and Chuanzhi Bai, in Applied Mathematics and Computation (2020)
Keywords: Mutualism model; Regime-switching; Optimal harvesting;

Permanence of a regime-switching malaria transmission model,
Chunyan Ji, in Physica A: Statistical Mechanics and its Applications (2019)
Keywords: Malaria; Regime-switching diffusion; Stationary distribution; Threshold;

The Regime-Switching Structural Default Risk Model,
Andreas Milidonis and Kevin Chisholm, in Risks (2024)
Keywords: default risk; regime switching; bond ratings; MLE

Estimating behavioural heterogeneity under regime switching,
Carl Chiarella, Xuezhong (Tony) He, Weihong Huang and Huanhuan Zheng, in Journal of Economic Behavior & Organization (2012)
Keywords: Estimation; Heterogeneity; Regime switching; Boom and bust;

Regime-switching characterization of electricity prices dynamics,
Carlo Mari, in Physica A: Statistical Mechanics and its Applications (2006)
Keywords: Electricity prices; Jump-diffusions; Regime-switches; Spikes;

Regime switching fractional cointegration and futures hedging,
Hsiang-Tai Lee, in Applied Financial Economics (2011)
Keywords: regime switching, futures hedging, fractionally cointegrated, GARCH,

Idiosyncratic risk matters! A regime switching approach,
Timotheos Angelidis and Nikolaos Tessaromatis, in International Review of Economics & Finance (2009)
Keywords: Idiosyncratic risk Stock market volatility Regime switching

International CAPM with Regime Switching GARCH Parameters,
Lorenzo Cappiello and Tom A. Fearnley, from International Center for Financial Asset Management and Engineering (2000)
Keywords: International CAPM; Multivariate GARCH-in-Mean; Regime Switching

No-Arbitrage Taylor Rules with Switching Regimes,
Haitao Li, Tao Li and Cindy Yu, in Management Science (2013)
Keywords: Taylor rule, term structure, regime switching, MCMC

Modeling electricity prices: jump diffusion and regime switching,
Rafał Weron, M Bierbrauer and S Trück, in Physica A: Statistical Mechanics and its Applications (2004)
Keywords: Electricity price; Jump diffusion; Regime switching; Seasonality;

Debt Persistence in a Deflationary Environment: A Regime-Switching Model,
Piero Ferri and Fabio Tramontana, in Computational Economics (2018)
Keywords: Debt, Growth, Regime switching, Policies, Discontinuities

Long memory and regime switching in the stochastic volatility modelling,
Yanlin Shi, in Annals of Operations Research (2023)
Keywords: Long memory, Stochastic volatility, Regime switching, MCMC

Estimating Behavioural Heterogeneity Under Regime Switching,
Carl Chiarella, Xuezhong (Tony) He, Weihong Huang and Huanhuan Zheng, from Quantitative Finance Research Centre, University of Technology, Sydney (2011)
Keywords: estimation; heterogeneity; regime switching; boom and bust

Income inequality and growth: A regime-switching approach,
Nektarios Aslanidis, from University of Crete, Department of Economics (2004)
Keywords: Kuznets curve, regime-switching, growth determinants, thresholds

Selection Criteria in Regime Switching Conditional Volatility Models,
Thomas Chuffart, from Aix-Marseille School of Economics, France (2013)
Keywords: Conditional volatility, model selection, GARCH, Regime Switching

Modeling electricity prices: jump diffusion and regime switching,
Rafał Weron, Michael Bierbrauer and Stefan Trück, from Hugo Steinhaus Center, Wroclaw University of Science and Technology (2003)
Keywords: Electricity price; Jump diffusion; Regime switching; Seasonality;

Quantifying the "Peso Problem" Bias: A Switching Regime Approach,
Allan Bødskov Andersen, from University of Aarhus, Aarhus School of Business, Department of Business Studies (2000)
Keywords: Peso problems; EMS exchange rates; Regime switching

REGIME-SWITCHING STOCK RETURNS AND MEAN REVERSION,
Steen Nielsen and Jan Overgaard Olesen, from Copenhagen Business School, Department of Economics (2001)
Keywords: Regime-Switching; Stock returns; Mean reversion; Denmark

Irreversible Investment under Competition with a Markov Switching Regime,
Makoto Goto, Katsumasa Nishide and Ryuta Takashima, from Kyoto University, Institute of Economic Research (2013)
Keywords: Real options; Competition; Timing game; Regime switch

Revisiting Herding Behavior in REITs: A Regime-Switching Approach,
Vassilios Babalos, Mehmet Balcilar and Rangan Gupta, from University of Pretoria, Department of Economics (2014)
Keywords: Cross sectional dispersion, Herding, REITs, regime-switching

Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models,
Daniel Chappell, from University Library of Munich, Germany (2018)
Keywords: Bitcoin; Markov regime-switching; regime heteroskedasticity; volatility transitions.

Real Options with Priced Regime-Switching Risk,
Edward Driffill, Martin Sola and Turalay Kenc, from Universidad Torcuato Di Tella (2009)
Keywords: Regime-Switching Risk Premia; Regime-Dependent Risk Premia, Real Options.

REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK,
Edward Driffill, Turalay Kenc and Martin Sola, in International Journal of Theoretical and Applied Finance (IJTAF) (2013)
Keywords: Regime-switching risk premia, regime-dependent risk premia, real options

On Dynamic Tax Reform with Regime Switching,
Wen-ya Chang and Hsueh-fang Tsai, in Public Finance Review (2006)
Keywords: tax reform; income taxation; consumption taxation; regime switching; investment

Convertible bond valuation with regime switching,
Byung-June Kim and Bong-Gyu Jang, in Chaos, Solitons & Fractals (2021)
Keywords: Option pricing; Convertible bond; Regime switching; Exchange option;

Regime-switching angular correlation diversification,
Hsiang-Tai Lee, in Finance Research Letters (2022)
Keywords: Angular correlation; Regime switching; GARCH; Portfolio diversification; Stock sector indices;

Regime-switching monetary policy in Canada,
Ronald H. Lange, in Journal of Macroeconomics (2010)
Keywords: Monetary policy Regime-switching Structural VAR Small open economy

Regime Switching, Learning, and the Great Moderation,
James Murray, from Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington (2008)
Keywords: Learning; regime switching; great moderation; New Keynesian model; maximum likelihood

Design Limits in Regime-Switching Cases,
Beatrice Pataracchia, from Department of Economics, University of Siena (2008)
Keywords: Design Limits, Stabilization policy, Regime switching, Model Uncertainty

Optimal Mortgage Refinancing with Regime Switches,
Toshio Kimura and Naoki Makimoto, in Asia-Pacific Financial Markets (2008)
Keywords: Mortgage refinance, Regime switch, Bellman equation, Optimal stopping,

A regime-switching analysis of pass-through,
Kolver Hernandez and Asli Leblebicioglu, in Review of World Economics (Weltwirtschaftliches Archiv) (2012)
Keywords: Exchange rate pass-through, Markov regime-switching, F31, F40,

Solving Endogenous Regime Switching Models,
Jean Barthélemy and Magali Marx, from HAL (2016)
Keywords: Regime switching,Rational expectations models,Indeterminacy,Perturbation methods

Solving Endogenous Regime Switching Models,
Jean Barthélemy and Magali Marx, from HAL (2016)
Keywords: Regime switching,Rational expectations models,Indeterminacy,Perturbation methods

Solving endogenous regime switching models,
Jean Barthélemy and Magali Marx, in Journal of Economic Dynamics and Control (2017)
Keywords: Regime switching; Rational expectations models; Indeterminacy; Perturbation methods;

A Regime-Switching Model for European Options,
David D. Yao, Qing Zhang and Xun Yu Zhou, from Springer (2006)
Keywords: Regime switching, option pricing, successive approximations, volatility smile and term structure

Optimal monetary policy regime switches,
Jason Choi and Andrew Foerster, from Federal Reserve Bank of Kansas City (2016)
Keywords: Growth rate; Optimal policy; Regime switching; Taylor rule; Inflation target

Determining the Regime Structure of BIST-100 Index: Markov Regime Switching Approach,
Ender Baykut and Veysel Kula, from International Institute of Social and Economic Sciences (2018)
Keywords: Regime Switching, Markov Regime, MRS Model, Financial Econometrics, BIST-100 Index.

Regime switching correlation hedging,
Hsiang-Tai Lee, in Journal of Banking & Finance (2010)
Keywords: Correlation hedging Minimum variance hedge ratio GARCH model Markov regime switching Commodity futures

A regime switching Ohlson model,
Arturo Leccadito and Stefania Veltri, in Quality & Quantity: International Journal of Methodology (2015)
Keywords: Regime switching, Ohlson model, Value relevance , Time series, Accounting based valuation,

Regime Switching in the Yield Curve,
Charlotte Christiansen, from University of Aarhus, Aarhus School of Business, Department of Business Studies (2002)
Keywords: Interest-rate variance; Regime switching; SWARCH; Yield curve; Yield curve slope

Regime switching in the presence of endogeneity,
Tingting Cheng, Jiti Gao and Yayi Yan, from Monash University, Department of Econometrics and Business Statistics (2018)
Keywords: latent factor, maximum likelihood estimation, Markov chain, regime switching models, state-varying endogeneity.

China's regime-switching monetary policy,
Jan Klingelhöfer and Rongrong Sun, in Economic Modelling (2018)
Keywords: E52; E58; E42; Monetary policy; China; Taylor rule; Regime-switching; Asymmetric; Multiple-regime threshold model;

On the Price of Risk Under a Regime Switching CGMY Process,
Pious Asiimwe, Charles Wilson Mahera and Olivier Menoukeu-Pamen, in Asia-Pacific Financial Markets (2016)
Keywords: Option pricing, Regime switching risk, Exponential Lévy model, Regime switching Esscher transform

Regime Switching and Bond Pricing,
Christian Gourieroux, Alain Monfort, Fulvio Pegoraro and Jean-Paul Renne, from Center for Research in Economics and Statistics (2013)
Keywords: Term Structure, Regime Switching, Affine Models, Car Process, Multi-horizon Laplace Transform, Contagion, Default Risk, Monetary Policy

Regime Switching and Bond Pricing,
Christian Gourieroux, Alain Monfort, Fulvio Pegoraro and Jean-Paul Renne, from Banque de France (2013)
Keywords: term structure, regime switching, affine models, car process, multi-horizon Laplace transform, contagion, default risk, monetary policy.

An Estimation of Regime Switching Models with Nonlinear Endogenous Switching,
Chotipong Charoensom, from Puey Ungphakorn Institute for Economic Research (2024)
Keywords: Nonlinear endogeneity; Regime switching; Maximum likelihood estimation; Asymmetric endogeneity; State-dependent endogeneity

Half Century of Gold Price: Regime-Switching and Forecasting Framework,
Nguyen Bao Anh and Yiqiang Q. Zhao, in International Journal of Financial Research (2021)
Keywords: Markov-switching model, gold price, MS auto-regression, regime-switching

Analysis about the Black-Scholes asset price under the regime-switching framework,
Ping Tian, Hang Zhou and Duotai Zhou, in International Review of Financial Analysis (2023)
Keywords: Regime-switching; Black-Scholes model; Markov switching model; Option pricing;

Inflation Forecasts and European Asset Returns: A Regime-Switching Approach,
Nicolas Pesci, Jean-Philippe Aguilar, Victor James and Fabien Rouillé, in JRFM (2022)
Keywords: regime switching; Markov switching; inflation; asset returns; asset allocation

Pricing exotic options in a regime switching economy: a Fourier transform method,
Peter Hieber, in Review of Derivatives Research (2018)
Keywords: Regime switching, Markov switching, Wiener–Hopf factorization, Option pricing

Regime-switching empirical similarity model: a comparison with baseline models,
Jamol Bahromov, in Empirical Economics (2022)
Keywords: Empirical similarity, Regime switching, ML estimation, Markov-switching autoregression

Early Warning Systems for Currency Crises: A Regime-Switching Approach,
Abdul Abiad, from Springer (2007)
Keywords: Currency crisis, early warning system, regime switching, Markov switching

The Monetary Transmission Mechanism and Inflation Targeting: A Regime-Switching VAR Approach for Canada,
Ronald H. Lange, in Applied Economics and Finance (2016)
Keywords: monetary transmission mechanism, regime switching, vector autoregessions

The Absence of Arbitrage on the Complete Black-Scholes-Merton Regime-Switching Lévy Market,
Sulima Anna, in Econometrics. Advances in Applied Data Analysis (2021)
Keywords: Lévy process, regime-switching, arbitrage, martingale measure

Regime Switching Determinants of Sovereign CDS Spreads: Evidence from Turkey,
Umurcan Polat, in Eurasian Journal of Economics and Finance (2017)
Keywords: Sovereign CDS Spread, Markov Regime-Switching, Turkey

Predicting recessions with interest rate spreads: A multicountry regime-switching analysis,
Ralf Ahrens, from Center for Financial Studies (CFS) (1999)
Keywords: term structure, economic fluctuations, forecasting, regime-switching

Identifying regime shifts in Indian stock market: A Markov switching approach,
Wasim Ahmad and Kamaiah Bandi, from University Library of Munich, Germany (2012)
Keywords: Markov switching model, Stock returns, Regime shifts

A Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives,
Samuel Gyamerah, Philip Ngare and Dennis Ikpe, from University Library of Munich, Germany (2018)
Keywords: Levy Process, Weather Derivative, Temperature, Regime-Switching

Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads,
Charles Shaw, from University Library of Munich, Germany (2019)
Keywords: time-series, regime-switching, Levy model, OAS

A comparison of regime-switching temperature modeling approaches for applications in weather derivatives,
R.S. Elias, M.I.M. Wahab and L. Fang, in European Journal of Operational Research (2014)
Keywords: Weather derivatives; Regime-switching models; Lattice approaches;

The Closed-Form Solution of an Extraction Model and Optimal Stopping Problems with Regime Switching,
Yong-Chao Zhang, Na Zhang and Qinglong Zhou, in Mathematics (2023)
Keywords: optimal stopping; regime switching; viscosity solution

A regime switching approach for hedging tanker shipping freight rates,
Amir H. Alizadeh, Chih-Yueh Huang and Stefan van Dellen, in Energy Economics (2015)
Keywords: Regime switching; Hedging; Tanker; Shipping; Risk management;

Modelling the volatility of TOCOM energy futures: A regime switching realised volatility approach,
Amir H. Alizadeh, Chih-Yueh Huang and Ian W. Marsh, in Energy Economics (2021)
Keywords: Regime-switch; TOCOM; Realised volatility; Petroleum futures;

Optimal hedging when the underlying asset follows a regime-switching Markov process,
Pascal François, Geneviève Gauthier and Frédéric Godin, in European Journal of Operational Research (2014)
Keywords: Dynamic programming; Hedging; Risk management; Regime switching;

How relevant is capital structure for aggregate investment? a regime-switching approach,
Banu Simmons-Süer, in International Review of Economics & Finance (2018)
Keywords: Investment; Tobin's q; WACC; Regime-switching;

Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model,
Won-Tak Hong and Eunju Hwang, in Statistics & Probability Letters (2016)
Keywords: Regime-switching GARCH model; Volatility; Asymptotic normality;

Regime switches induced by supply–demand equilibrium: a model for power-price dynamics,
Carlo Mari and Daniela Tondini, in Physica A: Statistical Mechanics and its Applications (2010)
Keywords: Electricity prices; Stochastic processes; Regime switches; Spikes;