Results 31 to 40 of about 553,591 (343)
Statistical Theory and Related Fields, 2020 This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting.
Liming Zhang, Rongming Wang, Jiaqin Wei
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Volatility spillover in crude oil market using Heston switching Clayton model [PDF]
Mathematics and Modeling in Finance, 2023 The purpose of this study is to investigate the effects and risk spillover from the global crude oil market on Tehran Stock Exchange Oil Group. For this purpose, we used a combination of copula models and switching models in this research. First, we will
Soheil Salimi Nasab +2 more
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Adding flexibility to Markov Switching models [PDF]
Statistical Modelling, 2016 Abstract: Very often time series are subject to abrupt changes in the level, which are generally represented by Markov Switching (MS) models, assuming that the level is constant within a certain state (regime). This is not a realistic framework because in the same regime the level could change with minor jumps with respect to a change of state; this ...
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Event-Based Consensus Tracking for Nonlinear Multi-Agent Systems Under Semi-Markov Jump Topology
IEEE Access, 2021 This paper studies the event-triggering leader-follower consensus with the strictly dissipative performance for nonlinear multi-agent systems (MASs) with semi-Markov changing topologies.
Jiafeng Yu +4 more
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Comparative Economic Research. Central and Eastern Europe, 2019 In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day-of-the-week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being
Adefemi A. Obalade, P. Muzindutsi
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Explicit-Duration Markov Switching Models [PDF]
Foundations and Trends® in Machine Learning, 2014 Markov switching models (MSMs) are probabilistic models that employ multiple sets of parameters to describe different dynamic regimes that a time series may exhibit at different periods of time. The switching mechanism between regimes is controlled by unobserved random variables that form a first-order Markov chain.
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MODEL VOLATILITAS SAHAM LQ45 DENGAN PENDEKATAN MARKOV-SWITCHING GARCH
Jurnal Lebesgue, 2023 Financial markets have an important role in the economy of a country including Indonesia. One of the activities chosen by investors in the financial market is investing.
Ermanely Ermanely +2 more
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Markov-Switching Bayesian Vector Autoregression Model in Mortality Forecasting
Risks, 2023 We apply a Markov-switching Bayesian vector autoregression (MSBVAR) model to mortality forecasting. MSBVAR has not previously been applied in this context, and our results show that it is a promising tool for mortality forecasting. Our model shows better
Wanying Fu +3 more
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Uncertainty Through the Lenses of a Mixed-Frequency Bayesian Panel Markov Switching Model
Annals of Applied Statistics, 2017 We propose a Bayesian panel model for mixed frequency data whose parameters can change over time according to a Markov process. Our model allows for both structural instability and random effects.
R. Casarin +3 more
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A Markov-switching model for heat waves [PDF]
, 2014 Heat waves merit careful study because they inict severe economic and societal damage. We use an intuitive, informal working denition of a heat wave|a persistent event in the tail of the temperature distribution| to motivate an interpretable latent state
B. Shaby +3 more
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