Volatility dynamics and correlation regime switching
Dynamics of Entrepreneurship under Regime Switching
... the dynamics of entrepreneur’s optimal consumption, investment and portfolio allocation when the dynamics of decision variables are subject to discrete regime shifts at random ...
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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 ...stochastic volatility and the ...
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Options Pricing and Hedging in a Regime-Switching Volatility Model
... constant volatility, we set up portfolios that were mathematically designed to hedge against both the risk of movement in the underlying asset and the risk of jumping to the opposing volatility ...of ...
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Energy Futures Volatility, Trading Activity, and Regime Switching
... the volatility although Nainar (1993) shows that weekly volatility tends to increase with petroleum futures ...price volatility but that past variability has much less of an influence on current ...
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Selection Criteria in Regime Switching Conditional Volatility Models
... I thank Anne Peguin-Feissolle and Emmanuel Flachaire for many valuable comments. I am responsible for all errors and mistakes. 14/07/2013 Abstract A large number of non linear conditional heteroskedastic models have been ...
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Regime-Switching Stochastic Volatility and Short-Term Interest Rates.
... introduce regime-switching in a stochastic volatility model to explain the behavior of short-term interest ...The regime-switching stochastic volatility process for interest ...
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On the robustness of international portfolio diversification benefits to regime-switching volatility
... We investigate the robustness of equity market linkages and their influence on international portfolio diversification benefits in the presence of regime-switching volatility. International ...
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Modeling the volatility of Mediterranean stock markets: a regime-switching approach
... Markov switching (MS) model has been widely applied to stock ...study regime shifts behavior in stock market returns for new EU member states, and find that the return generating process of all studied ...
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Stochastic population dynamics under regime switching II
... Abstract This is a continuation of our paper [16] on stochastic population dynamics under regime switching (J. Math. Anal. Appl. 334 (2007), 69–84). In this paper we still take both white and color ...
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Regime switching in volatilities and correlation between stock and bond markets
... about regime-switching models regards the number of ...only switching between two sets of ...the volatility processes of both markets and the correlation share the same ...
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Forecasting Volatility and Price of the SET50 Index Using the Markov Regime Switching
... the volatility and price of SET50 Index using the Markov Regime Switching GARCH (MRS- GARCH) ...allow volatility to have different dynamics according to unobserved regime ...
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International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility
... knowledge, no other study has employed this innovative technique to study the transmission of stock market shocks. This method has many advantages over and above previous techniques employed to examine asset market ...
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Growth and volatility regime switching models for New Zealand GDP data
... As found in many other studies, the hidden Markov switching model shows considerable po- tential for identifying growth and volatility regimes. Indeed this is among the strongest of its attributes. However ...
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Infinite-state Markov-switching for dynamic volatility and correlation models
... The GARCH model with fixed parameters has drained all its potential and more flexible mod- els are now required. We first propose an IHMS-GARCH model that allows for a potentially infinite number of regimes. Our Gibbs ...
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A Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives
... shifted regime of the TML model for the deseasonalized ...proposed regime- switching model is flexible as it modelled the deseasonalized temperature data reasonably ...
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A Levy Regime Switching Temperature Dynamics Model for Weather Derivatives
... shifted regime of the TML model for the deseasonalized ...proposed regime- switching model is flexible as it modelled the deseasonalized temperature data reasonably ...
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Regime Switching And Levy Jump Dynamics In Option Adjusted Spreads
... L´evy regime-switching model clearly defines two regimes for the A-, AA-, and AAA-rated US Corporate OASs in our ...our regime switching model captures the effect of the North Atlantic ...
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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 to the ...
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Mixture dynamics and regime switching diffusions with application to option pricing
... As a final comment for future research, we want to address two main points. Firstly, from a statistical perspective, the calibration of these mixtures, in particular the Heston SV mixture model, on real market data would ...
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Hedge Fund Return Dynamics: Long Memory and Regime Switching
... return dynamics and extend previous literature by combining the hedge fund return modeling and the performance persistence in a unified ...as regime switching and long ...the dynamics of hedge ...
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