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Investment under Ambiguity and Regime-Switching Environment
SSRN Electronic Journal
◽
10.2139/ssrn.1424604
◽
2009
◽
Cited By ~ 3
Author(s):
Kwangmoon Kim
◽
Minsuk Kwak
◽
U. Jin Choi
Keyword(s):
Regime Switching
Download Full-text
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Regime Switching
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Research of market interest rates of the SHIBOR based on regime switching model
JOURNAL OF SHENZHEN UNIVERSITY SCIENCE AND ENGINEERING
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10.3724/sp.j.1249.2015.03317
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Vol 32
(3)
◽
pp. 317
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◽
Hui Guo
Keyword(s):
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◽
Regime Switching
◽
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◽
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A combined regime-switching and Black–Litterman model for optimal asset allocation
The Journal of Investment Strategies
◽
10.21314/jois.2015.052
◽
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◽
Vol 4
(3)
◽
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Edwin O. Fischer
◽
Michael Murg
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Asset Allocation
◽
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Pricing and Evaluating a Bond Portfolio Using a Regime Switching Markov Model
SSRN Electronic Journal
◽
10.2139/ssrn.1092042
◽
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Leela R. Mitra
◽
Gautam Mitra
◽
Rogemar Mamon
Keyword(s):
Markov Model
◽
Regime Switching
◽
Bond Portfolio
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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
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Regime Switching Fractional Cointegration and Futures Hedging
SSRN Electronic Journal
◽
10.2139/ssrn.1536362
◽
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◽
Author(s):
Hsiang-Tai Lee
Keyword(s):
Regime Switching
◽
Fractional Cointegration
◽
Futures Hedging
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Regime-Switching and Long Memory in Systematic Risk: Evidence from Realized Betas of Industry Portfolios
SSRN Electronic Journal
◽
10.2139/ssrn.1745506
◽
2011
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Cited By ~ 1
Author(s):
Kam Fong Chan
◽
Robert G. Bowman
◽
Gillian Lawrence
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Long Memory
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Regime Switching
◽
Systematic Risk
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Regime-Switching of Electricity Prices: Evidence from the PJM Market
SSRN Electronic Journal
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10.2139/ssrn.2137018
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2012
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Author(s):
Yuewen Xiao
◽
David B. Colwell
◽
Ramaprasad Bhar
Keyword(s):
Regime Switching
◽
Electricity Prices
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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
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A New Analytic Approximation Technique for Options in a Regime-Switching Market
SSRN Electronic Journal
◽
10.2139/ssrn.2167394
◽
2012
◽
Cited By ~ 1
Author(s):
Melissa Mielkie
◽
Matt Davison
Keyword(s):
Regime Switching
◽
Approximation Technique
◽
Analytic Approximation
Download Full-text
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