A regime-switching model
How To Value Options In A Regime Switching Model
... underlying regime-switching model is ...underlying model, conditional American- style option values are compared to those from a single regime model with volatility equal to the ...
28
Trend Following Trading under a Regime Switching Model
... a regime switching model, a trend following trading system can be justified as an optimal trading strategy with a discounted reward function of trading one share of stock with a fixed percentage ...
39
Estimating default probabilities for CDO's : a regime switching model
... IPS1 model, the default probabilities decrease dramatically and do not give results for defaults bigger than 44 out of ...asset model as described above has a huge impact on default ...
61
A Regime Switching Model for the Term Structure of Credit Risk Spreads
... rating-based model for the term structure of credit risk spreads wherein the credit- worthiness of the issuer is represented as a finite-state continuous time Markov ...A model of the economy is presented ...
10
Understand funding liquidity and market liquidity in a regime-switching model
... The regime-switching of FL-to-ML impact between stressed and normal regimes may depict an interesting market mechanism. In normal regimes, there is usually more information (both public and private) ...
18
Quadratic Loss Minimization in a Regime Switching Model with Control and State Constraints
... is regime switching is included in the market model in the form of simple Markov-modulated market parameters, the portfolio is uncon- strained, and there is no ...the regime switch Markov ...
179
A Duration-Dependent Regime Switching Model for an Open Emerging Economy
... Markov-switching model is univariate and the probability of transition from one state to the other is ...the model needs to be modified for a dynamic prediction [Pelagatti ...cycle model for ...
16
Regime switching model for financial data: empirical risk analysis
... a regime switching model for the univariate Value-at-Risk estima- ...hybrid model that takes volatility clustering into ...between regime switching and their detection. This new ...
10
A conditional regime switching CAPM
... Markov switching model on market ...conditional model for each test portfolio with the market ...state model from the beta model is driven by the need to avoid two ...conditional ...
37
Continuous time regime-switching model applied to foreign exchange rate
... Markov switching model based on quarterly data in the exchange rate during the period of 1973-1988, and find that Markov switching model is a good approximation to the ...Markov ...
37
Analysis of a Stochastic Competitive Model with Regime Switching
... Competitive Model with Regime Switching Meiling Deng Abstract—This paper is concerned with a stochastic com- petitive model with Markov ...
10
Indeterminacy in a Forward Looking Regime Switching Model
... LOOKING REGIME SWITCHING MODEL ROGER ...Markov switching rational expec- tations (MSRE) ...policy model that switches between two regimes with known transition ... rst regime, ...
16
A regime-switching regression model for hedge funds
... Table 7: Model comparison for Equity Hedge strategies table shows the mean error measure for a hidden Markov chain with one, two or three possible states. Error measures are calculated separately for the fitting ...
37
Indeterminacy in a forward-looking regime-switching model
... MSRE model switches between the two models with transition probabilities governed by a Markov ...equation model, that there exists a set of mean-square-stable indeterminate equilibria for large open sets of ...
20
Modelling Regime Switching and Structural Breaks with an Infinite Dimension Markov Switching Model
... Markov model (SDHDP- ...versus regime switching ...label switching problem and focusing on labelling invariant posterior ...alternative regime switching and structural change ...
49
A New Regime Switching Model with State Varying Endogeneity
... their model is assumed to be constant, which implies that the correlation between the latent factor and the observed time series is invariant during the entire time ...of regime switching in some ...
18
Stability of a stochastic logistic model under regime switching
... the model is stochastically globally asymptotically stable; if the critical value is positive, then the solution of the model is positive recurrent and has a unique ergodic stationary ...
9
A multifactor model of stock returns with endogenous regime switching
... in model parameters from a completely different ...markovian regime switches and test for its ...the model in its simplest form, namely with only two endogenous ...our model is a very special ...
31
Options Pricing and Hedging in a Regime-Switching Volatility Model
... of switching to one other volatility ...on regime-switching option prices thus making them inappropriate hedging ...sophisticated regime- switching ...volatility switching ...
176
Regime-switching cointegration
... the switching probabilities {ξ ij }, i, j = 1, ...a regime we use a Uniform prior over the cointegration ...a regime we assume an informative prior centered over the space implied by the Fisher ...
22