A recursive formula for a participating contract embedding a surrender option under regime-switching model with jump risks: Evidence from stock indices

Economic Modelling ◽

10.1016/j.econmod.2014.01.011 ◽

2014 ◽

Vol 38 ◽

pp. 341-350 ◽

Author(s):

Shih-Kuei Lin ◽

Chien-Hsiu Lin ◽

Ming-Che Chuang ◽

Chia-Yu Chou

Keyword(s):

Regime Switching ◽

Recursive Formula ◽

Regime Switching Model ◽

Switching Model ◽

Stock Indices ◽

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Empirical analysis of stock indices under a regime-switching model with dependent jump size risks

Economic Modelling ◽

10.1016/j.econmod.2015.11.016 ◽

2016 ◽

Vol 54 ◽

pp. 260-275 ◽

Author(s):

Yuan-Lin Hsu ◽

Shih-Kuei Lin ◽

Ming-Chin Hung ◽

Tzu-Hui Huang

Keyword(s):

Empirical Analysis ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Jump Size ◽

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Volatility spillover among USA and major East Asian stock indices based on multivariate stochastic volatility with regime-switching model

2017 17th International Conference on Control, Automation and Systems (ICCAS) ◽

10.23919/iccas.2017.8204399 ◽

2017 ◽

Author(s):

Jing Zhang ◽

Yaming Zhuang

Keyword(s):

Stochastic Volatility ◽

Regime Switching ◽

Volatility Spillover ◽

Regime Switching Model ◽

Switching Model ◽

Stock Indices ◽

Multivariate Stochastic Volatility

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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

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Properties of American options under a Markovian Regime Switching Model

Communications in Statistics Case Studies Data Analysis and Applications ◽

10.1080/23737484.2021.1958272 ◽

2021 ◽

pp. 1-17

Author(s):

Marko Dimitrov ◽

Lu Jin ◽

Ying Ni

Keyword(s):

Regime Switching ◽

American Options ◽

Regime Switching Model ◽

Switching Model ◽

Markovian Regime Switching ◽

Markovian Regime

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Nonlinear investigations of China's agricultural transformation based on the structural break regime switching model

China Agricultural Economic Review ◽

10.1108/17561371211196775 ◽

2012 ◽

Vol 4 (1) ◽

pp. 52-68 ◽

Author(s):

Jie Lu ◽

Angang Hu ◽

Yilong Yan

Keyword(s):

Regime Switching ◽

Structural Break ◽

Regime Switching Model ◽

Switching Model ◽

Agricultural Transformation

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Optimal investment–consumption strategy with liability and regime switching model under Value-at-Risk constraint

Applied Mathematics and Computation ◽

10.1016/j.amc.2017.04.034 ◽

2017 ◽

Vol 313 ◽

pp. 103-118 ◽

Author(s):

Fengxia Hu ◽

Rongming Wang

Keyword(s):

At Risk ◽

Regime Switching ◽

Value At Risk ◽

Optimal Investment ◽

Regime Switching Model ◽

Switching Model ◽

Risk Constraint

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Positivity Preserving Numerical Method for Optimal Portfolio in a Power Utility Two-Dimensional Regime-Switching Model

Numerical Methods and Applications - Lecture Notes in Computer Science ◽

10.1007/978-3-030-10692-8_48 ◽

2019 ◽

pp. 424-432 ◽

Author(s):

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Numerical Method ◽

Regime Switching ◽

Optimal Portfolio ◽

Two Dimensional ◽

Positivity Preserving ◽

Power Utility ◽

Regime Switching Model ◽

Switching Model

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A Markov regime-switching model for the semiconductor industry cycles

Economic Modelling ◽

10.1016/j.econmod.2006.02.007 ◽

2006 ◽

Vol 23 (4) ◽

pp. 569-578 ◽

Author(s):

Wen-Hsien Liu ◽

Yih-Luan Chyi

Keyword(s):

Regime Switching ◽

Semiconductor Industry ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Markov Regime Switching Model

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Pricing Chinese warrants using artificial neural networks coupled with Markov regime switching model

International Journal of Financial Markets and Derivatives ◽

10.1504/ijfmd.2011.045600 ◽

2011 ◽

Vol 2 (4) ◽

pp. 314

Author(s):

David Liu ◽

Lei Zhang

Keyword(s):

Neural Networks ◽

Artificial Neural Networks ◽

Regime Switching ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Artificial Neural ◽

Markov Regime Switching Model

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Portfolios Optimization Under Regime Switching Model: Evidences in the American Bonds and Other Financial Assets

Studies in Computational Intelligence - Behavioral Predictive Modeling in Economics ◽

10.1007/978-3-030-49728-6_25 ◽

2020 ◽

pp. 377-392

Author(s):

Bing Yang ◽

Payap Tarkhamtham ◽

Pongsutti Phuensan ◽

Kongliang Zhu

Keyword(s):

Regime Switching ◽

Financial Assets ◽

Regime Switching Model ◽

Switching Model

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