Optimal refinancing strategy for mortgage rate with regime switching

2021 ◽  
Author(s):  
Congjin Zhou ◽  
Guojing Wang ◽  
Jie Guo
Keyword(s):  
Regime Switching ◽  
Mortgage Rate

A combined regime-switching and Black–Litterman model for optimal asset allocation

2015 ◽  
Vol 4 (3) ◽  
pp. 1-36
Author(s):  
Edwin O. Fischer ◽  
Michael Murg
Keyword(s):  
Asset Allocation ◽  
Regime Switching

Pricing and Evaluating a Bond Portfolio Using a Regime Switching Markov Model

2007 ◽  
Author(s):  
Leela R. Mitra ◽  
Gautam Mitra ◽  
Rogemar Mamon
Keyword(s):  
Markov Model ◽  
Regime Switching ◽  
Bond Portfolio

A Regime Switching Long Memory Model for Electricity Prices

2006 ◽  
Author(s):  
Niels Haldrup ◽  
Morten Ørregaard Nielsen
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Memory Model ◽  
Electricity Prices

Investment under Ambiguity and Regime-Switching Environment

2009 ◽  
Author(s):  
Kwangmoon Kim ◽  
Minsuk Kwak ◽  
U. Jin Choi
Keyword(s):  
Regime Switching

Regime-Switching and Long Memory in Systematic Risk: Evidence from Realized Betas of Industry Portfolios

2011 ◽  
Author(s):  
Kam Fong Chan ◽  
Robert G. Bowman ◽  
Gillian Lawrence
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Systematic Risk

Regime-Switching of Electricity Prices: Evidence from the PJM Market

2012 ◽  
Author(s):  
Yuewen Xiao ◽  
David B. Colwell ◽  
Ramaprasad Bhar
Keyword(s):  
Regime Switching ◽  
Electricity Prices

Predicting Defaults with Regime Switching Intensity: Model and Empirical Evidence

2012 ◽  
Author(s):  
Hui-Ching Chuang ◽  
Chung-Ming Kuan
Keyword(s):  
Empirical Evidence ◽  
Regime Switching ◽  
Intensity Model
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