Results 61 to 70 of about 111,800 (195)
Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
Discrete Dynamics in Nature and Society, 2021 This paper investigates the pricing of discretely sampled variance swaps under a Markov regime-switching jump-diffusion model. The jump diffusion, as well as other parameters of the underlying stock’s dynamics, is modulated by a Markov chain representing
Shican Liu +3 more
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, 1999 Economists continue to debate the importance of nonlinearity to their discipline. When it comes to forecasting levels, unit roots seems to be quite prevalent, and there has been a great deal of skepticism about nonlinear models. See the arguments pro and con in Ramsey (1996).
Mizrach, Bruce, Watkins, James
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Consensus for Multiple Unmanned Surface Vehicle (Musv) Systems with Markov Switching Topologies
Polish Maritime Research, 2019 This paper is concerned with sampled-data leader following consensus of multiple unmanned surface vehicle (MUSV) systems with random switching network topologies and wave-induced disturbance.
Wang Liyuan, Yue Wei, Zhang Rubo
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Modelling foreign exchange rates: a comparison between markov-switching and markov-switching GARCH
Indonesian Journal of Electrical Engineering and Computer Science, 2020 Foreign exchange rate is important as it determines a country's economic condition. It is used to carry out transfers of purchasing power between two or more countries. Volatility in exchange rates may result in difficulty in decision making especially, in financial sectors as high volatility could increase the risk in exchange rates.
Mohd Azizi Amin Nunian +2 more
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Volatility forecasting using Double-Markov switching GARCH models under skewed Student-t distribution [PDF]
, 2012 Includes bibliographical references.This thesis focuses on forecasting the volatility of daily returns using a double Markov switching GARCH model with a skewed Student-t error distribution.
Mazviona, Batsirai Winmore
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Cogent Economics & Finance, 2020 This paper investigates the impact of financial development on economic growth in Pakistan using the Markov Switching Model over the period 1980–2017. The results based on two-state Markov switching model confirm the Schumpeter’s view that finance spurs ...
Abdul Rahman +2 more
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Has the G7 business cycle become more synchronized ? [PDF]
This paper adopts Friedman’s Plucking Markov Switching Model to decompose G7 real GDPs into common permanent components, common transitory components, infrequent Markov Switching negative shock and domestic idiosyncratic components.
Jae Ho, Yoon
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Levy Approximation of Impulsive Recurrent Process with Semi-Markov Switching [PDF]
, 2009 In this paper, the weak convergence of impulsive recurrent process with semi-Markov switching in the scheme of Levy approximation is proved. Singular perturbation problem for the compensating operator of the extended Markov renewal process is used to ...
Koroliuk, V. S. +2 more
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Real effects of inflation uncertainty in the US [PDF]
We empirically investigate the effects of inflation uncertainty on output growth for the US using both monthly and quarterly data over 1985-2009. Employing a Markov regime switching approach to model output dynamics, we show that inflation uncertainty ...
Kostas Mouratidis +2 more
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Journal of Mathematics, 2014 We adopt a regime switching approach to study concrete financial time series with particular emphasis on their volatility characteristics considered in a space-time setting.
Luca Di Persio, Samuele Vettori
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