Regime switching models
Goodness of fit testing for regime switching models
... of regime-switching models has been mainly devoted to testing parameter stability versus regime-switching ...of regime-switching models have not been derived to ...
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Pricing and Hedging in Stochastic Volatility Regime Switching Models
... of regime switching models driven by a Markov process to various financial ...chain models. Indeed, the use of Markov switching in diffusions allows us to have different levels of drift ...
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Option Pricing and Hedging for Discrete Time Regime Switching Models
... Regime-switching models, popularized by [25] and [26], have many charac- teristics that lend themselves nicely to financial time series ...pret. Regime-switching models have ...
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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 ...
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Analysis of Volatility in Gold Prices with the Markov Regime-Switching Models
... Zamanla değişen Markov geçiş olasılıkları incelendiğinde serinin birinci rejimdeyken (düşük getirili dönem) bir sonraki dönemde yine birinci rejimde olma olasılığı ortalama %95,0866,[r] ...
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An empirical comparison of alternate regime switching models for electricity spot prices
... MRS models were first applied to electricity prices in Deng (1998) and Ethier and Mount ...three models of spot price dynamics in a derivatives pricing context (formal parame- ter estimation was not ...
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Further applications of higher-order Markov chains and developments in regime-switching models
... While the regular HMM is quite popular and succeeded in capturing the dynamics of many financial and economic processes, its major drawback is the memoryless property of the under- lying Markov process. In this chapter, ...
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Regime switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions
... base regime, it turns out that in a significant number of cases it can be negative! For instance, such results were reported by de Jong [5] for models with a Gaussian spike regime, but were not ...
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Modeling electricity spot prices: Regime switching models with price capped spike distributions
... price models is a harmless approximation or a dangerous procedure leading to under- or overestimation of price spike ...Markov regime-switching (MRS) models and evaluate the fit of ...
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Bayesian Markov Regime Switching Models for Cointegration
... Markov regime switching model is applied to the 05/23/06-11/30/07 GLD and GDX time ...Markov regime switching model indicates that at most of the time, the two time series are not cointegrated ...
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Efficient estimation of Markov regime switching models: An application to electricity wholesale market prices
... them models of first choice also in elec- tricity spot price modeling (Barz and Johnson, 1998; Kaminski, ...(MRJD) models were able to address the two main characteristics of electricity prices – mean ...
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Dynamics of islamic stock market returns and exchange rate movements in the ASEAN Countries in a regime switching environment: Implications for the islamic investors and risk hedgers
... appropriate regime-switching models to investigate the dynamic linkages between the foreign exchange and Islamic stock market returns for these ASEAN countries (Malaysia, Indonesia, Thailand, ...
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THE IMPACT OF EXCESS LIQUIDITY ON MONETARY POLICY
... estimate regime-switching models of monetary policy transmission mechanism, using threshold-VAR to determine the regime period of high and low precautionary excess ...
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Dynamics of Entrepreneurship under Regime Switching
... of regime-switching models to capture the cyclical features of real macroeconomic variables as proposed by Hamilton [1] is widely ...gime-switching models into a wide class of financial ...
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Value Premium and Portfolio Return Regime: Evidence from European Equities
... To reveal these points, this study explores the profitability of European stock portfolios and their linkages between the value premium factor return by using Markov regime-switching models (e.g., ...
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Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy
... type models can be solved by combining the Markov Regime Switching (MRS) model with ARCH models ...behind regime switching models is that as market conditions change, the ...
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Comparison of hidden and observed regime-switching autoregressive models for ( u,v )-components of wind fields in the northeastern Atlantic
... A regime-switching framework is introduced to account for the alternation of intensity and variability that is observed in wind conditions due to the existence of different weather ...The ...
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Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models
... Regime switching models have also been applied to non-financial ...state regime-switching model to estimate the tran- sition probabilities of a simple four-state ...
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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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VaR Optimal Risk Management in Regime Switching Jump Diffusion Models
... of regime-switching models to capture some peculiarities in the observed data, as firstly high- lighted in the seminal paper by Hamilton ...applying switching models to a wide class of ...
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