Results 51 to 60 of about 105,246 (202)
PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING [PDF]
International Journal of Theoretical and Applied Finance, 2015 We consider a stochastic-factor financial model wherein the asset price and the stochastic-factor processes depend on an observable Markov chain and exhibit an affine structure. We are faced with a finite investment horizon and derive optimal dynamic investment strategies that maximize the investor's expected utility from terminal wealth.
MARCOS ESCOBAR +2 more
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Optimal Control with Partially Observed Regime Switching: Discounted and Average Payoffs
Mathematics, 2022 We consider an optimal control problem with the discounted and average payoff. The reward rate (or cost rate) can be unbounded from above and below, and a Markovian switching stochastic differential equation gives the state variable dynamic.
Beatris Adriana Escobedo-Trujillo +3 more
doaj +1 more source
A Markov Switching Autoregressive Model with Time-Varying Parameters
ForecastingThis study showcased the Markov switching autoregressive model with time-varying parameters (MSAR-TVP) for modeling nonlinear time series with structural changes. This model enhances the MSAR framework by allowing dynamic parameter adjustments over time.
Syarifah Inayati, Nur Iriawan, Irhamah
doaj +1 more source
Algorithms, 2022 This paper advances a volatility-regime-switching mechanism to investigate the intensity and direction of the volatility spillover effect in carbon–energy markets.
Leon Li
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Risk Management of Selected Products Imported by Iranian Agriculture Using quasi-futures contracts [PDF]
مدلسازی اقتصادسنجی, 2019 The present study aims to provide a model for covering price risks in Iranian importers of agricultural commodities. In order to assess the efficiency of the model, daily spot and futures prices of soybeans and corn were collected from the Chicago ...
Omid Khodaverdi +3 more
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Modeling systemic risk with Markov Switching Graphical SUR models [PDF]
Journal of Econometrics, 2019 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bianchi, Daniele +3 more
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Time Varying Transition Probabilities for Markov Regime Switching Models [PDF]
SSRN Electronic Journal, 2014 We propose a new Markov switching model with time‐varying transitions probabilities. The novelty of our model is that the transition probabilities evolve over time by means of an observation driven model. The innovation of the time‐varying probability is generated by the score of the predictive likelihood function. We show how the model dynamics can be
Marco Bazzi +3 more
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BarekengIslamic stocks in Indonesia face challenges in portfolio management due to the limited number of issuers and low diversification. The change in market regime from bullish to bearish makes the portfolio more vulnerable, especially since some investors do ...
Denny Nurdiansyah, Agus Sulistiawan
doaj +1 more source
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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Advances in Difference Equations, 2020 In this paper, we consider the dynamics of a stochastic Gilpin–Ayala model with regime switching and impulsive perturbations. The Gilpin–Ayala parameter is also allowed to switch.
Yuan Jiang +3 more
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