Regime-Switching Model
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 ...our regime ...
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Continuous time regime-switching model applied to foreign exchange rate
... better regime switching ...a model has a higher log likelihood value it is important that its RCM to be close to ...(RS-M) model The Akaike information criterion is a measure of the relative ...
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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 ...
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A Regime Switching Model for the Term Structure of Credit Risk Spreads
... based regime switching model for the term-structure of credit risk spreads in continuous time ...our model is the inclusion of stochastic transition pro- ...
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Economic regimes and stock market performance in Nigeria: Evidence from regime switching model
... the regime switching model are appropriate quantitative tools for modeling macroeconomic and financial relationships particularly those that are characterized by changes in ...the regime ...
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Fractal Market Hypothesis and Markov Regime Switching Model: A Possible Synthesis and Integration
... One model that can be used to determine the probability of a regime switch is the ...four-state-regime model defined as boom, bull, crash and bear states to define the bear and bull markets on ...
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Essays on Macroeconometrics
... DSGE model literature, there remains open issues on which speci…cations DSGE model should take to characterize macroeconomic ...between regime switching model and stochastic volatility ...
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Are Tunisian and Egyptian Share IPO Markets Hot or Cold?
... This paper enriches the international literature relating to hot and cold cycles by studying Tunisian and Egyptian share IPO markets which constitutes a too little explored context. We seek to detect turning points ...
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A Levy Regime Switching Temperature Dynamics Model for Weather Derivatives
... To model the non-normality in the residuals, we employed the generalized-hyperbolic, normal-inverse Gaussian, and hyperbolic distributions to capture the skewness and semi-heavy tails in the ...shifted ...
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Hot and Cold Cycles for African Emerging Share IPO Market Evidence from Tunisia
... Markov regime switching model employing a set of IPO activity ...multivariate model give better information on IPO cycles since it eliminates cross and contemporary correlations between ...
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The Markovian Regime Switching Risk Model with Constant Dividend Barrier under Absolute Ruin
... under regime-switching mo- del is becoming a popular topic. This model is proposed in Reinhard [1] and Asmussen ...the model pa- rameter settings for the classical risk process. This ...
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Estimating and forecasting the yield curve using a Markov Switching Dynamic Nelson and Siegel Model
... the model does not rule out arbitrage opportunities across bonds of di¤erent maturities, and second, the crucial exponential decay rate parameter seems to change over ...DNS model and evaluate to what ...
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Essays in Modeling of Daily Returns and Realized Volatility.
... The evolution of the forecasted annualized portfolio standard deviation (in percent) are plotted in Fig. 4.11. The graph shows similar dynamics for the two strategies. However, the expected volatility of the DCC ...
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Asymptotic properties of a stochastic Lotka–Volterra model with infinite delay and regime switching
... Lotka–Volterra model with infinite delay and Markovian chains on a finite state ...stochastic model admits a unique positive global solution which stays in the way of stochastically ultimate boundedness by ...
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Pension plan solvency and extreme market movements : a regime switching approach
... of regime changes is natural and intuitive” and, as we will show below, the di§erent states have a clear economic interpretation to which practitioners will naturally ...
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Stochastic regime switching SIS epidemic model with vaccination driven by Lévy noise
... and there is an endemic equilibrium P ∗ (S ∗ , I ∗ , V ∗ ), which is globally asymptotically stable. Because of full randomness and stochasticity in real life, many studies have indicated that environmental fluctuations ...
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Pension plan solvency and extreme market movements: : A regime switching approach
... capital model (Models 1 and ...Markov switching in the ...Markov switching, consistent with earlier sections of this ...under Model 6 than under Model ...
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Real effects of inflation uncertainty in the US
... Markov switching ARCH ...Markov switching model that explains the behavior of ...on regime lowers real economic ...parameter model of Kim (1993) with Markov-switching het- ...
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choice of remuneration regime in fisheries: the case of Hawaii’s longline fisheries
... contract regime, the unit cost of production is lower and output is higher compared to a fixed wage ...Sutinen’s model by integrating an output market, biological equilibrium, and regulatory policy into ...
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Tourists' Preferences for Quality of Services: Empirical Investigation of Lesvos, Samos and Chios Islands
... theoretical model draws for the switching regime ...the switching regime model with known sample separation is explained ...first regime under which the variable Y ...
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