Regime Switching and Conditional Asset Pricing Models
Selection Criteria in Regime Switching Conditional Volatility Models
... linear conditional heteroskedastic models have been proposed in the literature and practitioners do not have always the tools to choose the correct ...in regime switching framework. We focus ...
21
Efficient Estimation of Conditional Asset Pricing Models
... on conditional covariances than on ...of conditional mean parameters, where MSE are at least twice as large as their MLE ...of conditional variance parameters are much closer to their MLE ...
39
Estimation and Evaluation of Conditional Asset Pricing Models
... mean pricing errors and the models’ restrictions on the conditional distributions of returns (fixed IV and opti- mal IV), the implied consumption risk premium is almost ...with conditional ...
79
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 ...
11
A conditional regime switching CAPM
... the pricing error is by visually comparing the performance of the two ...two models against the realised average ...the conditional fit improves on two ...the conditional fit is closer to that ...
37
Option Pricing and Hedging for Discrete Time Regime Switching Models
... 2 Fiera Capital Corporation, Montréal, Canada 3 Department of Finance, HEC Montréal, Montréal, Canada Abstract We propose optimal mean-variance dynamic hedging strategies in discrete time under a multivariate Gaussian ...
28
Statistical Inference and Pricing for Regime Switching Models in Finance and Insurance
... In this chapter, we consider using the discrete instead of the continuous ECF meth- ods to estimate our models. By using the continuous ECF methods, we can match all the moments of the ECF and theoretical CF ...
190
Evaluating conditional asset pricing models for the German stock market
... the pricing error plots in 2 and 4, the model is clearly better than the CAPM in explaining the cross-section of average returns of our size and book-to-market ...the pricing errors for value stocks are ...
46
Testing Conditional Asset Pricing Models: An Emerging Market Perspective
... The conditional Fama-French model In the previous section we reported that the unconditional Fama-French model clearly outperforms the unconditional ...whether conditional information provides further ...
50
Evaluating Conditional Asset Pricing Models for the German Stock Market
... the pricing error plots in 2 and 4, the model is clearly better than the CAPM in explaining the cross-section of average returns of our size and book-to-market ...the pricing errors for value stocks are ...
45
A best choice among asset pricing models? The conditional CAPM in Australia.
... outperforms models that hypothesise that returns are driven by US market ...these models, however, the resulting explanations are significantly better than those based on the CCAPM ...
35
Regime switching GARCH models
... possible regime paths grows exponentially with time, which renders the computation of the likelihood function ...tractable models that try to preserve the nature of the GARCH process have been ...lagged ...
26
Regime switching GARCH models
... possible regime paths grows exponentially with time, which renders the computation of the likelihood function ...tractable models that try to preserve the nature of the GARCH process have been ...lagged ...
26
Efficient pricing options under regime switching
... cation of large jumps is necessary because an infinite sum cannot be calculated; approximation of small jumps is needed when L´evy measure diverges at zero. The result is a linear system that needs to be solved at each ...
35
Asset allocation under multivariate regime switching
... between asset returns and state variables such as interest rates or dividend ...return models that include the yield as a state variable. Integrating asset allocation decisions within a ...
41
Sentiment-Augmented Asset Pricing in Bursa Malaysia: A Time-Varying Markov Regime-Switching Model
... capital asset pricing model (CAPM), propounded by Sharpe (1964) and Lintner (1965), claims that there is a positive effect of the market risk on the risk premium of financial ...
16
Numerical method for pricing American options under regime-switching jump-diffusion models
... of regime switching models driven by a Markov chain to various financial ...Markovian regime-switching paradigm has become one of the prevailing models in mathematical ...the ...
16
Options Pricing and Hedging in a Regime-Switching Volatility Model
... underlying asset and the risk of jumping to the opposing volatility ...of switching to one other volatility ...on regime-switching option prices thus making them inappropriate hedging ...
176
Option pricing with regime switching by trinomial tree method
... the regime switching ...in pricing barrier ...k-state regime switching ...tree models mentioned above is not ...a regime switching ...the regime state ...
25
An Overview of Asset Pricing Models
... other models that will be discussed later having multi-beta ...the conditional version for various sources of risk, when determining the unconditional form for every risk factor such a second beta would ...
154