Instability in Regime Switching Models

Option Pricing Under Regime-Switching Models: Novel Approaches Removing Path-Dependence

SSRN Electronic Journal ◽

10.2139/ssrn.3019482 ◽

2017 ◽

Cited By ~ 1

Author(s):

Frrddric Godin ◽

Van Son Lai ◽

Denis-Alexandre Trottier

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Path Dependence ◽

Regime Switching Models ◽

Switching Models ◽

Novel Approaches

The Forecasting Performance of Regime-Switching Models of Speculative Behavior for Exchange Rates

SSRN Electronic Journal ◽

10.2139/ssrn.2063184 ◽

2012 ◽

Cited By ~ 1

Author(s):

Ekaterini Panopoulou ◽

Theologos Pantelidis

Keyword(s):

Exchange Rates ◽

Regime Switching ◽

Regime Switching Models ◽

Switching Models ◽

Forecasting Performance ◽

Speculative Behavior

Time Varying Transition Probabilities for Markov Regime Switching Models

SSRN Electronic Journal ◽

10.2139/ssrn.2456632 ◽

2014 ◽

Cited By ~ 4

Author(s):

Marco Bazzi ◽

Francisco Blasques ◽

Siem Jan Koopman ◽

Andre Lucas

Keyword(s):

Regime Switching ◽

Transition Probabilities ◽

Time Varying ◽

Markov Regime Switching ◽

Regime Switching Models ◽

Switching Models

Catching Uncertainty of Wind: A Blend of Sieve Bootstrap and Regime Switching Models for Probabilistic Short-Term Forecasting of Wind Speed

Advances in Time Series Methods and Applications - Fields Institute Communications ◽

10.1007/978-1-4939-6568-7_14 ◽

2016 ◽

pp. 279-293 ◽

Cited By ~ 1

Author(s):

Yulia R. Gel ◽

Vyacheslav Lyubchich ◽

S. Ejaz Ahmed

Keyword(s):

Wind Speed ◽

Regime Switching ◽

Short Term ◽

Sieve Bootstrap ◽

Regime Switching Models ◽

Switching Models ◽

Short Term Forecasting

Option Pricing and Hedging for Discrete Time Regime-Switching Models

Modern Economy ◽

10.4236/me.2017.88070 ◽

2017 ◽

Vol 08 (08) ◽

pp. 1005-1032 ◽

Cited By ~ 10

Author(s):

Bruno Rémillard ◽

Alexandre Hocquard ◽

Hugo Lamarre ◽

Nicolas Papageorgiou

Keyword(s):

Option Pricing ◽

Discrete Time ◽

Regime Switching ◽

Regime Switching Models ◽

Switching Models ◽

Time Regime

Threshold effect of foreign direct investment on economic growth: new evidence from a panel regime switching models

Global Business and Economics Review ◽

10.1504/gber.2021.118212 ◽

2021 ◽

Vol 25 (2) ◽

pp. 177

Author(s):

Kamel Helali ◽

Maha Kalai

Keyword(s):

Economic Growth ◽

Foreign Direct Investment ◽

Regime Switching ◽

Direct Investment ◽

Threshold Effect ◽

Regime Switching Models ◽

Switching Models ◽

New Evidence

Application of Regime-Switching Models of Time Series with Cubic Spline Transition Function

Soft Methodology and Random Information Systems ◽

10.1007/978-3-540-44465-7_72 ◽

2004 ◽

pp. 581-588

Author(s):

Tomas Bognár ◽

Jozef Komorník ◽

Magda Komorníková

Keyword(s):

Time Series ◽

Regime Switching ◽

Transition Function ◽

Cubic Spline ◽

Regime Switching Models ◽

Switching Models

Regime Switching Models

The New Palgrave Dictionary of Economics ◽

10.1057/978-1-349-95189-5_2459 ◽

2018 ◽

pp. 11421-11426

Author(s):

James D. Hamilton

Keyword(s):

Regime Switching ◽

Regime Switching Models ◽

Switching Models

E-stability vis-à-vis determinacy in regime-switching models

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2020.104012 ◽

2020 ◽

Vol 121 ◽

pp. 104012 ◽

Cited By ~ 1

Author(s):

Nigel McClung

Keyword(s):

Regime Switching ◽

Regime Switching Models ◽

Switching Models

General methods for bounding multidimensional ruin probabilities in regime-switching models

Stochastics ◽

10.1080/17442508.2020.1801684 ◽

2020 ◽

pp. 1-16

Author(s):

Lesław Gajek ◽

Marcin Rudź

Keyword(s):

Regime Switching ◽

Ruin Probabilities ◽

Regime Switching Models ◽

Switching Models