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Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps
Calice, Giovanni; Mio, RongHui; Štěrba, Filip; … - In: Journal of empirical finance 33 (2015), pp. 174-189
Persistent link: https://www.econbiz.de/10011556866
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A robust nNumerical scheme for pricing American options under regime switching based on penalty method
Zhang, K.; Teo, Kok Lay; Swartz, M. - In: Computational economics 43 (2014) 4, pp. 463-483
Persistent link: https://www.econbiz.de/10010396243
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Can we distinguish regime switching from long memory? : a simulation evidence
Shi, Yanlin - In: Applied economics letters 22 (2015) 4/6, pp. 318-323
Persistent link: https://www.econbiz.de/10010506750
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Analytically pricing European options under a new two-factor Heston model with regime switching
Lin, Sha; He, Xin-Jiang - In: Computational economics 59 (2022) 3, pp. 1069-1085
Persistent link: https://www.econbiz.de/10013169219
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A regime-switching approach to estimating the nonlinear quantity-based monetary policy rule in China
Zhang, Xu; Liu, Xiaoxing; Hang, Jianqin; Yao, Dengbao - In: Applied economics letters 24 (2017) 1/3, pp. 132-135
Persistent link: https://www.econbiz.de/10011703973
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Debt persistence in a deflationary environment : a regime-switching model
Ferri, Piero; Tramontana, Fabio - In: Computational economics 52 (2018) 2, pp. 421-442
Persistent link: https://www.econbiz.de/10012052954
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Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
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How strong is the relationship among gold and USD exchange rates? : analytics based on structural change models
Dong, Manh Cuong; Chen, Cathy W. S.; Lee, Sangyoel; … - In: Computational economics 53 (2019) 1, pp. 343-366
Persistent link: https://www.econbiz.de/10012134682
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Numerical modeling of dependent credit rating transitions with asynchronously moving industries
Boreiko, D. V.; Kaniovski, Yuri M.; Pflug, Georg - In: Computational economics 49 (2017) 3, pp. 499-516
Persistent link: https://www.econbiz.de/10011762130
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Are cryptocurrencies a safe haven for stock investors? : a regime-switching approach
Li, Leon; Miu, Peter - In: Journal of empirical finance 70 (2023), pp. 367-385
Persistent link: https://www.econbiz.de/10014423734