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A non-linear approach to measure the dependencies between Bitcoin and other commodity markets
Goutte, Stéphane; Keddad, Benjamin - In: Recent econometric techniques for macroeconomic and …, (pp. 303-314). 2021
In this paper, we explore the relationship across cryptocurrencies and a set of commodities by using a Markov-Switching-VAR model. The parametric form of the model allows us to compute the regime-dependent impulse response functions during high and low volatility episodes and then to quantify...
Persistent link: https://www.econbiz.de/10012395551
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Volatility spillover analysis in commodity markets : volatility spillover from oil prices to precious metals under different regimes
Kirkpinar, Aysegul - In: Contemporary issues in business economics and finance, (pp. 45-56). 2020
Persistent link: https://www.econbiz.de/10012313140
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Markov chains and the potential approach to modelling interest rates and exchange rates
Rogers, Leonard C. G.; Yousaf, F. A. - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 375-406). 2002
Persistent link: https://www.econbiz.de/10001679461
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Asset prices with regime-switching variance gamma dynamics
Royal, Andrew J.; Elliott, Robert J. - 2009
Persistent link: https://www.econbiz.de/10003827090
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MCMC methods for continuous-time financial econometrics
Johannes, Michael; Polson, Nicholas G. - 2010
Persistent link: https://www.econbiz.de/10003900732
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Pricing and hedging of rating-sensitive claims modeled by F-doubly stochastic Markov chains
Jakubowski, Jacek; Niewęgłowski, Mariusz - In: Advanced mathematical methods for finance, (pp. 417-453). 2011
Persistent link: https://www.econbiz.de/10008991278
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The Dynkin game with regime switching and applications to pricing game options
Lv, Siyu; Wu, Zhen; Zhang, Qing - In: Risk management decisions and value under uncertainty, (pp. 1159-1182). 2022
Persistent link: https://www.econbiz.de/10013342097
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Markov switching models in asset pricing research
Guidolin, Massimo - In: Handbook of research methods and applications in …, (pp. 3-44). 2013
Persistent link: https://www.econbiz.de/10011897349
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Learning of steady states in nonlinear models when shocks follow a Markov chain
Honkapohja, Seppo; Mitra, Kaushik - In: Institutions, equilibria and efficiency : essays in …, (pp. 261-272). 2006
Persistent link: https://www.econbiz.de/10003371933
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Estimation of the stochastic volatility by Markov Chain Monte Carlo
Boscher, Hans - In: Econometrics in theory and practice : Festschrift for …, (pp. 189-203). 1998
Persistent link: https://www.econbiz.de/10001301445