Regime Switching
Stability of a stochastic logistic model under regime switching
... 21. Mao, X, Yuan, C: Stochastic Differential Equations with Markovian Switching. Imperial College Press, London (2006) 22. Zhu, C, Yin, G: Asymptotic properties of hybrid diffusion systems. SIAM J. Control Optim. ...
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Option Pricing and Hedging for Discrete Time Regime Switching Models
... pret. Regime-switching models have previously been used by [27] to capture interest rate dynamics and by [28] and [29] to model ...apply regime-switching models to returns for option pricing ...
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The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching
... a regime switching Geometric Brownian Motion where the volatility can switch between different values based on the state of a hidden Markov ...price switching between a mean-reverting processes and a ...
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Regime Switching Model on Hourly Electricity Spot Price Dynamics
... time-varying regime-switching model for price dynamics of hourly spot price of electricity on the electricity market is ...Markov Regime Switching (MRS) model that gives weight to the ex- ...
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Optimal regime switching under risk aversion and uncertainty
... for regime-switching under price ...optimal switching from one stochastic cash flow representation to another, which, contrary to Alvarez & Stenbacka (2001), implies a structural change in the ...
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Goodness of fit testing for the marginal distribution of regime switching models
... of regime-switching models has been mainly devoted to testing parameter stability versus the regime-switching ...of regime-switching models have not been derived to date (with ...
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Bayesian Markov Regime Switching Models for Cointegration
... Markov regime-switching model that allows the cointegration relationship between two time series to be switched on and off over ...Markov switching method allows for estimation of the ...
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Investigating liquidity constraints as a channel of contagion: a regime switching approach
... Markov switching models (Ramchand and Susmel 1998; Ang and Bekaert 2002; Chesney and Jondeau 2001; Pelle- tier 2006; Guo et ...multivariate regime-switching Gaussian copula model and the AG-DCC model ...
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Optimal Selling Rule in a Regime Switching Lévy Market
... a regime switching L´evy ...no switching; see also Samuelson 4 in connection with derivative pricing and Øksendal 5 for optimal stopping in ...with regime switching, Guo and Zhang 6 ...
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Bayesian Analysis of DSGE Models with Regime Switching
... probabilistic manner by updating their information recursively. The possibility of a transition to the other regimes can alter the stability conditions and the dynamics in this economy. Davig and Leeper (2007) pointed ...
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Pricing and Hedging in Stochastic Volatility Regime Switching Models
... general regime switching stochastic volatility models where both the asset and the volatility dynamics de- pend on the values of a Markov jump ...Markov regime switching, this financial market ...
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Options Pricing and Hedging in a Regime-Switching Volatility Model
... The work presented in this thesis can lead to many possible extensions. Throughout this thesis, it was assumed that the state-dependent market prices of volatility risk were constant within a respective volatility state ...
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Noise expresses exponential growth under regime switching
... under regime switching (colour noise) whose solution grows at most polynomially, and suppose that the system is subject to environmental noise (white noise) in some ...the regime switching and ...
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Convergence of estimated option price in a regime switching market
... finite state process. In practice, the law of such regime switching is not known a priori. If the regimes are observed, then one can perhaps estimate the transition rate of the regime ...
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Stochastic population dynamics under regime switching II
... This is a continuation of our paper [16] on stochastic population dynamics under regime switching (J. Math. Anal. Appl. 334 (2007), 69–84). In this paper we still take both white and color environmental ...
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Estimating default probabilities for CDO's : a regime switching model
... the regime switching approach described in Krystul et ...one-asset regime switching model to a d-asset regime switching model, which we will explain in detail in chapter ...
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Heavy tails and regime switching in electricity prices
... a regime-switching model with three possible regimes in which the initial jump regime was immediately followed by the reversing regime and then moved back to the base ...AR(1) regime ...
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Monetary Policy in Japan Reconsidered: A Regime switching VAR Analysis
... In summary, our analysis includes a more appropriate number of variables and regimes compared with existing studies. Fujiwara (2006) used a sufficient number of appropriate variables but restricted his analysis to two ...
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Dynamics of Entrepreneurship under Regime Switching
... pact of regime switching on portfo- lio allocation and consumption is different. Comparing Panel A and Panel B in Figure 3, one can find that port- folio allocation x w in the transitory case is so ...
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Coupling and tracking of regime switching martingales
... This paper describes two explicit couplings of standard Brownian motions B and V , which naturally extend the mirror coupling and the synchronous coupling and respec- tively maximise and minimise (uniformly over all time ...
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