Results 71 to 80 of about 553,591 (343)

Fad Models with Markov Switching Hetroskedasticity: Decomposing Tehran Stock Exchange Return into Permanent and Transitory Components [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2018
In this paper, the stochastic behavior of Tehran stock exchange return index (TEDPIX) is examined by using unobserved component Markov switching model (UC-MS) during the period 3/27/2010 - 8/3/2015.
Teimour Mohammadi, Abdolsadeh Neisi, Mahnoush Abdollahmilani, Sahar Havaj   +3 more
doaj   +1 more source

Does ESG Investing Pay off? Comparing the Performance of ESG and Traditional ETFs Across European and US Markets

Business Strategy and the Environment, EarlyView.
ABSTRACT Investors have long recognized the importance of firms in promoting sustainability, leading to the rise of socially responsible investment (SRI). Specifically, there is a growing preference for exchange‐traded funds (ETFs) that prioritize environmental, social, and governance (ESG) principles.
Sandra Tenorio‐Salgueiro, Andrea Martínez‐Salgueiro, Rubén Lado‐Sestayo, Milagros Vivel‐Búa   +3 more
wiley   +1 more source

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, Billio, Monica, Casarin, Roberto, Guidolin, Massimo   +3 more
openaire   +3 more sources

Optimal dividends for a NatCat insurer in the presence of a climate tipping point

Canadian Journal of Statistics, EarlyView.
Abstract We study optimal dividend strategies for an insurance company facing natural catastrophe claims, anticipating the arrival of a climate tipping point after which the claim intensity and/or the claim size distribution of the underlying risks deteriorates irreversibly.
Hansjörg Albrecher, Pablo Azcue, Nora Muler   +2 more
wiley   +1 more source

Hidden Markov graphical models with state‐dependent generalized hyperbolic distributions

Canadian Journal of Statistics, EarlyView.
Abstract In this article, we develop a novel hidden Markov graphical model to investigate time‐varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and accommodate shape features embedded in financial time series, we rely upon the generalized hyperbolic family of ...
Beatrice Foroni, Luca Merlo, Lea Petrella   +2 more
wiley   +1 more source

A Markov Switching Autoregressive Model with Time-Varying Parameters

Forecasting
This 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

A Markov approach to credit rating migration conditional on economic states

Canadian Journal of Statistics, EarlyView.
Abstract We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time‐homogeneous Markov chain. While the rating process itself possesses the Markov property only under restrictive conditions, methods ...
Michael Kalkbrener, Natalie Packham
wiley   +1 more source

A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets

, 2018
This article develops a new Markov-switching vector autoregressive (VAR) model with stochastic correlation for contagion analysis on financial markets.
R. Casarin, D. Sartore, M. Tronzano
semanticscholar   +1 more source

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, Francisco Blasques, Siem Jan Koopman, Andre Lucas   +3 more
openaire   +5 more sources

When Dihedral Angles Mask Denticity in Molecular Conductance

ChemPhysChem, EarlyView.
This study tests whether higher molecule–electrode denticity increases conductance in single‐molecule junctions. Using nonequilibrium Green's function technique in conjunction with density functional theory simulations and mechanically controlled break‐junction experiments on a tetradentate N‐heterohexacene, it is found that conductance depends mainly ...
Kevin Batzinger, Dylan Dyer, M. D. Hashan C. Peiris, Tarek H. El‐Assaad, Rashmi Yohani Amarakoon Arachchige, Sam LaMotte, Dominic V. McGrath, Oliver L.A. Monti, Manuel Smeu   +8 more
wiley   +1 more source