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Extreme-quantile tracking for financial time series

Chavez-Demoulin, V.; Embrechts, Paul; Sardy, S. - In: Journal of econometrics 181 (2014) 1, pp. 44-52

Persistent link: https://www.econbiz.de/10010473421

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

Identification and estimation of Gaussian affine term structure models with regime switching

Wang, Gang - In: Journal of mathematical finance 4 (2014) 3, pp. 148-159

Persistent link: https://www.econbiz.de/10010400123

Regime switching and the (in) stability of the price-rent relationship : evidence from the US

Kim, J. R.; Chung, K. - In: Applied economics 46 (2014) 31/33, pp. 4041-4052

Persistent link: https://www.econbiz.de/10010421848

The forecasting performance of a finite mixture regime-switching model for daily electricity prices

Chen, Dipeng; Bunn, Derek W. - In: Journal of forecasting 33 (2014) 5, pp. 364-375

Persistent link: https://www.econbiz.de/10010425623

On the relationship between the prices of oil and the precious metals : revisiting with a multivariate regime-switching decision tree

Charlot, Philippe; Marimoutou, Vêlayoudom - In: Energy economics 44 (2014), pp. 456-467

Persistent link: https://www.econbiz.de/10010457143

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

Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts

Trojan, Sebastian - 2014

Persistent link: https://www.econbiz.de/10010437483

Real dividend - stock market price causality nexus : an application of Markov switching model

Anoruo, Emmanuel - In: Afro-Asian Journal of Finance and Accounting : AAJFA 4 (2014) 1, pp. 63-74

Persistent link: https://www.econbiz.de/10010485674

The term structure of interest rates in a small open economy DSGE model with Markov switching

Horváth, Roman; Maršál, Aleš - 2014

We lay out a small open economy dynamic stochastic general equilibrium (DSGE) model with Markov switching to study the term structure of interest rates. We extend the previous models by opening up the economy and adding a foreign demand channel. As a result, we explain the term structure of...

Persistent link: https://www.econbiz.de/10010414197

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