In this paper economic growth is interpreted as a sequence of transitions between distinct growth regimes that countries visit with different frequencies. Countries featuring similar growth dynamics are endogenously grouped into three different clusters. The first cluster comprises successful...

This paper examines the dynamic relationship between the bilateral exchange rates of 10 Central and Eastern European emerging markets against the euro and their fundamentals, using data from the early 1990s to the middle of 2010, within the framework provided by the monetary model of exchange...

This paper investigates a non-self-financing portfolio optimization problem under the framework of multi-period mean–variance with Markov regime switching and a stochastic cash flow. The stochastic cash flow can be explained as capital additions or withdrawals during the investment process....

This paper investigates whether a regime switching model of stochastic lumber prices is better for the analysis of optimal harvesting problems in forestry than a more traditional single regime model. Prices of lumber derivatives are used to calibrate a regime switching model, with each of two...

Time series displaying long-range correlations have been observed in numerous fields, such as biology, psychology, hydrology, and economics, among others. For rhythmic movements such as tapping tasks, the Wing–Kristofferson model offers a decomposition of the inter-response intervals based on...

This paper introduces a regime-switching forward-looking Taylor rule to describe the monetary policy behavior and considers its estimation using a two-step MLE procedure due to Kim and Nelson (2006), Kim (2009) and Zheng and Wang (2010). By doing an empirical analysis on quarterly data for China...

This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) in which parameters change according to the phase of the housing cycle. The results suggest...

We consider the optimal asset allocation problem in a continuous-time regime-switching market. The problem is to maximize the expected utility of the terminal wealth of a portfolio that contains an option, an underlying stock and a risk-free bond. The difficulty that arises in our setting is...

This work develops a stochastic differential game model between two insurance companies who adopt the optimal reinsurance strategies to reduce the risk. The surplus is modeled by a regime-switching jump diffusion process. A single payoff function is imposed, and one player devises an optimal...

We address credit cycle dependent sovereign credit risk determinants. In our model, the spread determinants' magnitude is conditional on an unobservable endogenous sovereign credit cycle as represented by the underlying state of a Markov regime switching process. Our explanatory variables are...