Narrow search
Showing 31 - 40 of 384
Cover Image
Asymptotically optimal dividend policy for regime-switching compound Poisson models
Yin, G; Jin, Z; Yang, H - 2010
This work develops asymptotically optimal dividend policies to maximize the expected present value of dividends until … measure of a related Markov chain. Under simple conditions, the optimal policy of the limit dividend strategy is a threshold …. It is demonstrated that the constructed dividend policy is asymptotically optimal. © 2010 Institute of Applied …
Persistent link: https://www.econbiz.de/10009471481
Cover Image
Option pricing in a jump-diffusion model with regime switching
Yuen, FL; Yang, H - 2009
Nowadays, the regime switching model has become a popular model in mathematical finance and actuarial science. The market is not complete when the model has regime switching. Thus, pricing the regime switching risk is an important issue. In Naik (1993), a jump diffusion model with two regimes is...
Persistent link: https://www.econbiz.de/10009471507
Cover Image
Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect
Dunbar, Kwamie; Edwards, Albert J. - 2007
In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co-variances. Traditional multi-variate techniques treat the correlations between covariates as constant over time; however, this view is not supported by the data. Secondly, since...
Persistent link: https://www.econbiz.de/10009430120
Cover Image
Is the Great Moderation Ending? UK and US Evidence
Canarella, Giorgio; Fang, WenShwo; Miller, Stephen M.; … - 2008
The Great Moderation, the significant decline in the variability of economic activity, provides a most remarkable feature of the macroeconomic landscape in the last twenty years. A number of papers document the beginning of the Great Moderation in the US and the UK. In this paper, we use the...
Persistent link: https://www.econbiz.de/10009430126
Cover Image
A State Dependent Regime Switching Model of Dynamic Correlations
Tejeda, Hernan A.; Goodwin, Barry K.; Pelletier, Denis - 2009
Replaced with revised version of paper 07/29/09.
Persistent link: https://www.econbiz.de/10009444711
Cover Image
Common risk factors in the US and UK interest swap markets-evidence from a non-linear vector autoregression approach
Lekkos, I; Milas, C - 2002
This paper produces evidence in support of the existence of common risk factors in the US andUK interest rate swap markets. Using a multivariate smooth transition autoregression (STVAR)framework, we show that the dynamics of the US and UK swap spreads are best described by aregime-switching...
Persistent link: https://www.econbiz.de/10009465473
Cover Image
Dividend history and determinants in selected Indian companies: a study during 1993-'94 to 2004-'05
Parua, Anupam; Gupta, Arindam - 2009
The study attempts to find out the trends in dividend payment and determinants of dividend decision. A sample of 607 … non-payers and low-payers of dividend has increased. Again, average dividend payments are on the rise continuously. It … means that there is no room for moderate dividend payment. Average dividend for the past three years is the most consistent …
Persistent link: https://www.econbiz.de/10009457443
Cover Image
Examining Validity of Known Dividend Models in Indian Companies
Gupta, Shaveta; Dogra, Balram; Vashisht, AK - 2013
Dividend declaration is considered as one of the key focus areas of the firm’s financial policy. The core of dividend … policy includes the decision like whether to distribute profits to the shareholders in the form of dividend or to retain. The … dividend decision, one of the widely researched topics, yet named as dividend puzzle, has been a center of attraction for the …
Persistent link: https://www.econbiz.de/10011315665
Cover Image
Examining Validity of Known Dividend Models in Indian Companies
Gupta, Shaveta; Dogra, Balram; Vashisht, AK - 2013
Dividend declaration is considered as one of the key focus areas of the firm’s financial policy. The core of dividend … policy includes the decision like whether to distribute profits to the shareholders in the form of dividend or to retain. The … dividend decision, one of the widely researched topics, yet named as dividend puzzle, has been a center of attraction for the …
Persistent link: https://www.econbiz.de/10011374970
Cover Image
Theorie der markovschen Abfertigungsprozesse und deterministisches Chaos
Völker, Diana - 2006
Persistent link: https://www.econbiz.de/10009449676