[PDF] Top 20 Analysis of a Stochastic Competitive Model with Regime Switching

... nificance, stochastic differential equations with Markovian switching have received great attention and have been studied extensively (see, for ...n-dimensional stochastic competitive ... See full document

... passive regime from Lubik and Schorfheide’s (2004) estimation is below one and my estimate of the posterior mean is greater than one, the 90% credible set of the coefficient under the passive regime ... See full document

... under regime switching, it is therefore the motiva- tion of our present paper to consider the system subjected to both white noise and color telegraph (hybrid ... See full document

... using stochastic di ff erential equations, however this would add a level of complexity to the option pricing problem from an analysis ...our regime-switching framework to observed op- tions ... See full document

... In particular, for a non-coupon paying bond ψ ( T , e 0 ) = δ and ψ ( T , e i ) = 1 otherwise, where δ is the de- fault recovery rate, whereas for a callable bond ψ ( T b , , e 0 ) = 0 and ψ ( T b , , e i ) = max { b − E ... See full document

... We continue with comparing the two algorithms. The difference in the approaches is the way of resampling, i.e. the choice for potential function G. This choice determines the outcomes. The first approach gives default ... See full document

... in stochastic Gilpin-Ayala systems because of the nonlinear ...asymptotic analysis owing to the existence of regime-switching mech- anism, which can make the problem ...the stochastic ... See full document

... Markov-switching model to construct probabilistic indicators and serves as useful tools for providing original qualitative information for economic analysis, especially “ to monitor on a monthly ... See full document

... dynamic stochastic general equilibrium (DSGE) models has been an important subject in ...quantitative analysis of policy ...DSGE model literature, there remains open issues on which speci…cations ... See full document

... this regime shifts by applying the Markov regime-switching (MRS) model we find that the unpredicted shocks in energy consumption have significant and asymmetric effects on the volatility of ... See full document

... of stochastic regime ...this model implies that the underlying asset price can switch between two states, exhibiting continuous changes in each ... See full document

... and the solution of subsystem () is positive recurrent and has a UEAID. Figure (a) shows that the trivial solution of subsystem () is SGAS and Figure (b) is the density of solution of (). Now let us consider two ... See full document

... the stochastic behaviour of the interest and mortality ...vian regime-switching technique (up to 3 states) so that the capacity is enhanced in reproducing the observed nonlinear dynamic patterns of ... See full document

... In this paper, we consider a stochastic SIR epidemic model with regime switching. The Markov semigroup theory will be employed to obtain the existence of a unique stable stationary ... See full document

... a stochastic logistic population under regime switch- ing controlled by a Markov chain is either stochastically permanent or extinctive, and we obtain the sufficient and necessary conditions for ... See full document

... our stochastic volatility model describes the price of a commodity produced by the firm A , then the Markov process X can represent the credit rating of this firm given by exogenous rating company as ... See full document

... continuous stochastic model for ...Hull-White model. The noise process in his model was driven by two Wiener process corresponding to the distribution of the temperature and the distribution ... See full document

... created competitive markets that boost wholesale trading in most ...and model the spot price dynamics of the electricity market accurately to aid in an efficient pricing of electricity ... See full document

... Markov switching process by allowing the Augmented Dickey Fuller regression parameters to switch values between different ...Our analysis differes from the above in that we consider the case in which there ... See full document

... The asymptotic behavior of solutions to SDEs is very important. From the view of appli- cations, investigating the stability in distribution is a more interesting question in stochas- tic population systems. Bao et al. ... See full document