Regime switching affine processes with applications to finance

Finance and Stochastics ◽

10.1007/s00780-020-00419-2 ◽

2020 ◽

Vol 24 (2) ◽

pp. 309-333 ◽

Author(s):

Misha van Beek ◽

Michel Mandjes ◽

Peter Spreij ◽

Erik Winands

Keyword(s):

Regime Switching ◽

Affine Processes

Download Full-text

Regime switching in yield structures and forecasting securitised real estate returns

10.15396/eres2003_194 ◽

2003 ◽

Keyword(s):

Real Estate ◽

Regime Switching ◽

Real Estate Returns

Download Full-text

Research of market interest rates of the SHIBOR based on regime switching model

JOURNAL OF SHENZHEN UNIVERSITY SCIENCE AND ENGINEERING ◽

10.3724/sp.j.1249.2015.03317 ◽

2015 ◽

Vol 32 (3) ◽

pp. 317 ◽

Author(s):

Xiangdong Liu ◽

Hui Guo

Keyword(s):

Interest Rates ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model

Download Full-text

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

The Journal of Investment Strategies ◽

10.21314/jois.2015.052 ◽

2015 ◽

Vol 4 (3) ◽

pp. 1-36

Author(s):

Edwin O. Fischer ◽

Michael Murg

Keyword(s):

Asset Allocation ◽

Regime Switching

Download Full-text

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

SSRN Electronic Journal ◽

10.2139/ssrn.1092042 ◽

2007 ◽

Author(s):

Leela R. Mitra ◽

Gautam Mitra ◽

Rogemar Mamon

Keyword(s):

Markov Model ◽

Regime Switching ◽

Download Full-text

A Regime Switching Long Memory Model for Electricity Prices

SSRN Electronic Journal ◽

10.2139/ssrn.1147547 ◽

2006 ◽

Author(s):

Niels Haldrup ◽

Morten Ørregaard Nielsen

Keyword(s):

Long Memory ◽

Regime Switching ◽

Memory Model ◽

Electricity Prices

Download Full-text

Investment under Ambiguity and Regime-Switching Environment

SSRN Electronic Journal ◽

10.2139/ssrn.1424604 ◽

2009 ◽

Author(s):

Kwangmoon Kim ◽

Minsuk Kwak ◽

U. Jin Choi

Keyword(s):

Regime Switching

Download Full-text

Regime Switching Fractional Cointegration and Futures Hedging

SSRN Electronic Journal ◽

10.2139/ssrn.1536362 ◽

2010 ◽

Author(s):

Hsiang-Tai Lee

Keyword(s):

Regime Switching ◽

Fractional Cointegration ◽

Futures Hedging

Download Full-text

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

SSRN Electronic Journal ◽

10.2139/ssrn.1745506 ◽

2011 ◽

Author(s):

Kam Fong Chan ◽

Robert G. Bowman ◽

Gillian Lawrence

Keyword(s):

Long Memory ◽

Regime Switching ◽

Systematic Risk

Download Full-text

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

SSRN Electronic Journal ◽

10.2139/ssrn.2137018 ◽

2012 ◽

Author(s):

Yuewen Xiao ◽

David B. Colwell ◽

Ramaprasad Bhar

Keyword(s):

Regime Switching ◽

Electricity Prices

Download Full-text

Predicting Defaults with Regime Switching Intensity: Model and Empirical Evidence

SSRN Electronic Journal ◽

10.2139/ssrn.2154132 ◽

2012 ◽

Author(s):

Hui-Ching Chuang ◽

Chung-Ming Kuan

Keyword(s):

Empirical Evidence ◽

Regime Switching ◽

Intensity Model

Download Full-text