The regime-switching case
Regime-switching cointegration
... first regime is cointegrated and the Fisher effect holds, the second regime is not cointegrated and the third regime is cointegrated again but the Fisher effect does not ...a case where the ...
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Regime-Switching Cointegration
... first regime is cointegrated and the Fisher effect holds, the second regime is not cointegrated and the third regime is cointegrated again but the Fisher effect does not ...a case where the ...
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Regime-Switching Cointegration
... the case of ...interesting case where the evidence of previous work suggests there is a great deal of model uncertainty, both about the presence of cointegration and about the break ...
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Switching to the Inflation Targeting Regime: Does it necessary for the case of Egypt?
... IT regime is the only available alternative to achieve the goal of price stability upon forward-looking ...policy regime without explicit nominal anchor was not the appropriate alternative to tie down ...
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Credit modelling and regime-switching
... a regime-switching setting, which, potentially, affords a convenient mechanism to be able to combine a number of different market conditions in a simple and intuitive ...be regime- dependent, via the ...
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Regime-switching behaviour in European
... 2 We extended the lag length up to 6 in both variables, but found that lags 4-6 appear insignificant. 3 Since it is a well established empirical phenomenon that the distribution of stock returns is highly leptokurtic, it ...
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A conditional regime switching CAPM
... Our simple conditional model provides evidence that beta is positively rewarded by the market. Unconditional models are unable to provide such evidence, not because beta is irrelevant, but simply because the ...
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Stability of regime-switching diffusions
... on regime-switching diffusions from emerging applications in financial engineering and wireless communications, much attention has been drawn to switching diffusion ...simplest case, a stock ...
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Regime switching GARCH models
... special case where the volatility process are IGARCH in the non-stable regimes, the RS- GARCH process is covariance-stationary regardless of the features of the state probabilities if there exists a real number δ ...
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Lifetime Financial Planning with Regime-switching: the Case of Persistence and Mean Reversion
... of regime-switching, since these values persist for 20 year periods by ...future regime shifts when either of the two extremes of the set of three available mean values is ...
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Estimation of Markov regime-switching regression models with endogenous switching
... independent switching, to the Hamilton (1989) regime-switching model, in which the state process is serially ...endogenous switching and discuss maximum likelihood ...
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Dynamics of Entrepreneurship under Regime Switching
... of regime switching on portfo- lio allocation and consumption is ...transitory case is so close to the one in the mark case, except for the part near the liquidation ...sitory case and ...
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Tail Risk Hedging and Regime Switching
... Implementing VaR or CVaR as objectives in portfolio optimization is technically more de- manding than solving variance-based problems because these risk measures – in general – depend on the full distribution of the ...
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Regime-Switching and the Estimation of Multifractal Processes
... particular, regime changes take place at predetermined dates, making the model ...special case of the Hamilton formulation, we develop maximum likelihood estimation, which to the best of our knowledge is ...
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Coupling and tracking of regime switching martingales
... the case of a quadratic cost ...the case the volatility processes are time-inhomogeneous but determin- ...the case where certain assumptions of Theorems ...
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Regime Switching in Cointegrated Time Series
... These regime switches, detected endogenously by the Bai Perron Test , may 12 correspond with many different factors affecting a ...and regime breaks in the market of this ...market. Regime changes ...
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Switching Regime in Investors’ Risk Perception
... We can conclude that volatility is a fundamental characteristic of financial markets. It explains the psychological aspect of the market; investors’ decisions are based on this concept. Anderson and Bollerslev [6] showed ...
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Markov regime switching and unit root tests
... Markov switching introduces additional serial correlation into the process, namely the first difference of S t ...this case to the additive outlier literature discussed by Franses and Haldrup (1994) among ...
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Hysteretic regime switching diffusions and resource extraction
... (1994), switching between operational regimes exhibits hysteresis due to the capital cost of ...a regime switching diffusion which switches upon crossing between overlapping subsets of its state ...
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Real options with priced regime-switching risk
... of regime-dependent market prices of diffusion risk and regime-switching risk on capital budgeting (invest- ment) ...both regime-switching ...
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