switching models
Option Pricing and Hedging for Discrete Time Regime Switching Models
... DOI: 10.4236/me.2017.88070 1022 Modern Economy Furthermore, we state the regime-switching specialization of the optimal hedging algorithm [18] which generates optimal discrete-time (in our case, daily) exposures ...
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Markov Switching Models with state dependent time varying transition probabilities
... Markov-switching models with time-varying transition prob- ability matrices in which the parameters associated with the latter are subject to random changes driven by an exogenous Markov ...of ...
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Goodness of fit testing for regime switching models
... regime-switching models has been mainly devoted to testing parameter stability versus regime-switching ...regime-switching models have not been derived to ...regime-switching ...
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Regime heteroskedasticity in Bitcoin: A comparison of Markov switching models
... Regime switching models have also been applied to non-financial scenarios. Smith, Sola and Spagnolo (2000) used a discrete state regime-switching model to estimate the tran- sition probabilities of a ...
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Improving Markov switching models using realized variance
... Markov switching model has became one of the standard econometric tools in studying various financial and economic data se- ...Markov switching models have been used to iden- tify bull and bear ...
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Goodness of fit testing for the marginal distribution of regime switching models
... regime-switching models. We consider models with an observable (like threshold autoregressions), as well as, a latent state process (like Markov ...the models requires statistical ...
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Pricing and Hedging in Stochastic Volatility Regime Switching Models
... 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 or ...
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Indirect estimation of Markov switching models with endogenous switching
... The motivation for which the state variable has been considered exogenous with respect to the dependent variable is that the estimation method used for MS models, based on the nonlinear [r] ...
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Bayesian Markov Regime Switching Models for Cointegration
... Markov switching method allows for estimation of the regime-specific model parameters via Markov Chain Monte Carlo and generates more reliable ...regime switching also provides important in- formation for ...
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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 with normal or log-normal spikes, but much better than the non-linear mean-reverting model of Barlow (2002) or the MRJD model of Kluge (2006) with two different mean-reversion rates for the normal and ...
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VaR Optimal Risk Management in Regime Switching Jump Diffusion Models
... 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 financial ...
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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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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 ...regime switching models is that as market conditions change, the factors that ...
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Identification and Estimation of Gaussian Affine Term Structure Models with Regime Switching
... A second and completely separate contribution of the paper is that we propose our canonical representation of GDTSMs, which is then used in double-regime environment as a new form of regime-switching GDTSMs. Us- ...
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The Theorem of Proportionality in Mainstream Capital Theory: An Assessment of its Applicability
... Direct evidence that this is the case comes from the study by Bu (2006), which inves- tigates the determinants of the rates of economic depreciation in six countries from this group. Using firm level data from surveys of ...
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Model Switching and Model Averaging in Time-Varying Parameter Regression Models
... model switching and compare it to the algorithm of Raftery et al ...of switching Gaussian state space models described in, among other places, Kim (1994), Kim and Nelson (1999) and Fruhwirth- ...
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Model switching and model averaging in time-varying parameter regression models
... regression models or other models where parameters are constant over ...variables, models where parameters change over time have long been used. Models such as the time-varying parameter (TVP) ...
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Assessing the viability of Sukuk for portfolio diversification using MS DCC GARCH
... Many of the earlier researches postulate that Sukuk, being of some fundamental difference from conventional bond, offers a diversification strategy for investors and portfolio managers. However, other works have argued ...
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Tipping Points in 1-dimensional Schelling Models with Switching Agents
... original models largely included vacant spaces into which dissatisfied agents could ...agent models are thus closed insofar as that the number of agents of each type remains fixed throughout the process, ...
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