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146 total matches.

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University of Georgia

1.
Yu, Jie.
* Regime*-

Degree: PhD, Mathematics, 2009, University of Georgia

URL: http://purl.galileo.usg.edu/uga_etd/yu_jie_200908_phd

► In option pricing the underlying stock price is traditionally assumed to follow a geometric Brownian motion. However it is observed that the stock prices often…
(more)

Subjects/Keywords: Regime Switching

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Yu, J. (2009). Regime-switching models with mean reversion and applications in option pricing. (Doctoral Dissertation). University of Georgia. Retrieved from http://purl.galileo.usg.edu/uga_etd/yu_jie_200908_phd

Chicago Manual of Style (16^{th} Edition):

Yu, Jie. “Regime-switching models with mean reversion and applications in option pricing.” 2009. Doctoral Dissertation, University of Georgia. Accessed August 25, 2019. http://purl.galileo.usg.edu/uga_etd/yu_jie_200908_phd.

MLA Handbook (7^{th} Edition):

Yu, Jie. “Regime-switching models with mean reversion and applications in option pricing.” 2009. Web. 25 Aug 2019.

Vancouver:

Yu J. Regime-switching models with mean reversion and applications in option pricing. [Internet] [Doctoral dissertation]. University of Georgia; 2009. [cited 2019 Aug 25]. Available from: http://purl.galileo.usg.edu/uga_etd/yu_jie_200908_phd.

Council of Science Editors:

Yu J. Regime-switching models with mean reversion and applications in option pricing. [Doctoral Dissertation]. University of Georgia; 2009. Available from: http://purl.galileo.usg.edu/uga_etd/yu_jie_200908_phd

University of Waterloo

2.
Akhavein Sohrabi, Mohammad Yousef.
Option Pricing under *Regime* *Switching* (Analytical, PDE, and FFT Methods).

Degree: 2011, University of Waterloo

URL: http://hdl.handle.net/10012/5945

► Although globally used in option pricing, the Black-Scholes model has not been able to reflect the evolution of stocks in the real world. A *regime*-*switching*…
(more)

Subjects/Keywords: Option Pricing; Regime Switching

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Akhavein Sohrabi, M. Y. (2011). Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods). (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/5945

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Akhavein Sohrabi, Mohammad Yousef. “Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods).” 2011. Thesis, University of Waterloo. Accessed August 25, 2019. http://hdl.handle.net/10012/5945.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Akhavein Sohrabi, Mohammad Yousef. “Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods).” 2011. Web. 25 Aug 2019.

Vancouver:

Akhavein Sohrabi MY. Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods). [Internet] [Thesis]. University of Waterloo; 2011. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/10012/5945.

Note: this citation may be lacking information needed for this citation format:

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Akhavein Sohrabi MY. Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods). [Thesis]. University of Waterloo; 2011. Available from: http://hdl.handle.net/10012/5945

Not specified: Masters Thesis or Doctoral Dissertation

University of Toronto

3.
Jeon, Yoontae.
High Frequency Trading in a *Regime*-*switching* Model.

Degree: 2010, University of Toronto

URL: http://hdl.handle.net/1807/25636

►

One of the most famous problem of finding optimal weight to maximize an agent's expected terminal utility in finance literature is Merton's optimal portfolio problem.… (more)

Subjects/Keywords: High Frequency; Regime Switching; 0405

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APA (6^{th} Edition):

Jeon, Y. (2010). High Frequency Trading in a Regime-switching Model. (Masters Thesis). University of Toronto. Retrieved from http://hdl.handle.net/1807/25636

Chicago Manual of Style (16^{th} Edition):

Jeon, Yoontae. “High Frequency Trading in a Regime-switching Model.” 2010. Masters Thesis, University of Toronto. Accessed August 25, 2019. http://hdl.handle.net/1807/25636.

MLA Handbook (7^{th} Edition):

Jeon, Yoontae. “High Frequency Trading in a Regime-switching Model.” 2010. Web. 25 Aug 2019.

Vancouver:

Jeon Y. High Frequency Trading in a Regime-switching Model. [Internet] [Masters thesis]. University of Toronto; 2010. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/1807/25636.

Council of Science Editors:

Jeon Y. High Frequency Trading in a Regime-switching Model. [Masters Thesis]. University of Toronto; 2010. Available from: http://hdl.handle.net/1807/25636

Dalhousie University

4.
Xie, Shuichang.
A *REGIME* *SWITCHING* MULTIFACTOR MODEL FOR THE STOCK AND BOND
RETURNS.

Degree: MA, Department of Economics, 2012, Dalhousie University

URL: http://hdl.handle.net/10222/15424

► In contrast to the studies of constant or time-varying correlations between stock and bond returns, in this thesis, I explore the *regime*-dependent correlations between stock…
(more)

Subjects/Keywords: Regime-switching; Mean-variance Analysis; Portfolio

Record Details Similar Records

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APA (6^{th} Edition):

Xie, S. (2012). A REGIME SWITCHING MULTIFACTOR MODEL FOR THE STOCK AND BOND RETURNS. (Masters Thesis). Dalhousie University. Retrieved from http://hdl.handle.net/10222/15424

Chicago Manual of Style (16^{th} Edition):

Xie, Shuichang. “A REGIME SWITCHING MULTIFACTOR MODEL FOR THE STOCK AND BOND RETURNS.” 2012. Masters Thesis, Dalhousie University. Accessed August 25, 2019. http://hdl.handle.net/10222/15424.

MLA Handbook (7^{th} Edition):

Xie, Shuichang. “A REGIME SWITCHING MULTIFACTOR MODEL FOR THE STOCK AND BOND RETURNS.” 2012. Web. 25 Aug 2019.

Vancouver:

Xie S. A REGIME SWITCHING MULTIFACTOR MODEL FOR THE STOCK AND BOND RETURNS. [Internet] [Masters thesis]. Dalhousie University; 2012. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/10222/15424.

Council of Science Editors:

Xie S. A REGIME SWITCHING MULTIFACTOR MODEL FOR THE STOCK AND BOND RETURNS. [Masters Thesis]. Dalhousie University; 2012. Available from: http://hdl.handle.net/10222/15424

5.
Chang, Jingzhi.
A DYNAMIC SELECT SECTOR SPDRS ETFS PORTFOLIO OPTIMIZATION
MODEL WITH *REGIME*-*SWITCHING* ECONOMIC INDICATORS.

Degree: MA, Department of Economics, 2013, Dalhousie University

URL: http://hdl.handle.net/10222/42696

► This thesis studies a dynamic Select Sector SPDRs ETFs portfolio optimization problem. The objective of the optimization model is to maximize the risk-adjusted expected return…
(more)

Subjects/Keywords: REGIME SWITCHING

…autoregression (1) *regime*-*switching* factor model. Six economic indicators -- S&P 500 stock… …to obtain updated market conditions. Then, a dynamic *regime*-*switching*
asset pricing model… …is established by incorporating predicted factor values derived from
the *regime*-*switching*… …alpha.
As the *regime*-*switching* technique is utilized through a hidden Markov model across the… …which we use
to fit our models. The methodology of the *regime*-*switching* factor model, the…

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Chang, J. (2013). A DYNAMIC SELECT SECTOR SPDRS ETFS PORTFOLIO OPTIMIZATION MODEL WITH REGIME-SWITCHING ECONOMIC INDICATORS. (Masters Thesis). Dalhousie University. Retrieved from http://hdl.handle.net/10222/42696

Chicago Manual of Style (16^{th} Edition):

Chang, Jingzhi. “A DYNAMIC SELECT SECTOR SPDRS ETFS PORTFOLIO OPTIMIZATION MODEL WITH REGIME-SWITCHING ECONOMIC INDICATORS.” 2013. Masters Thesis, Dalhousie University. Accessed August 25, 2019. http://hdl.handle.net/10222/42696.

MLA Handbook (7^{th} Edition):

Chang, Jingzhi. “A DYNAMIC SELECT SECTOR SPDRS ETFS PORTFOLIO OPTIMIZATION MODEL WITH REGIME-SWITCHING ECONOMIC INDICATORS.” 2013. Web. 25 Aug 2019.

Vancouver:

Chang J. A DYNAMIC SELECT SECTOR SPDRS ETFS PORTFOLIO OPTIMIZATION MODEL WITH REGIME-SWITCHING ECONOMIC INDICATORS. [Internet] [Masters thesis]. Dalhousie University; 2013. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/10222/42696.

Council of Science Editors:

Chang J. A DYNAMIC SELECT SECTOR SPDRS ETFS PORTFOLIO OPTIMIZATION MODEL WITH REGIME-SWITCHING ECONOMIC INDICATORS. [Masters Thesis]. Dalhousie University; 2013. Available from: http://hdl.handle.net/10222/42696

University of Oregon

6.
Check, Adam.
*REGIME**SWITCHING* AND THE MONETARY ECONOMY.

Degree: 2016, University of Oregon

URL: http://hdl.handle.net/1794/20531

► For the empirical macroeconomist, accounting for nonlinearities in data series by using *regime* *switching* techniques has a long history. Over the past 25 years, there…
(more)

Subjects/Keywords: Bayesian; Model Averaging; Monetary Policy; Regime Switching

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Check, A. (2016). REGIME SWITCHING AND THE MONETARY ECONOMY. (Thesis). University of Oregon. Retrieved from http://hdl.handle.net/1794/20531

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Check, Adam. “REGIME SWITCHING AND THE MONETARY ECONOMY.” 2016. Thesis, University of Oregon. Accessed August 25, 2019. http://hdl.handle.net/1794/20531.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Check, Adam. “REGIME SWITCHING AND THE MONETARY ECONOMY.” 2016. Web. 25 Aug 2019.

Vancouver:

Check A. REGIME SWITCHING AND THE MONETARY ECONOMY. [Internet] [Thesis]. University of Oregon; 2016. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/1794/20531.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Check A. REGIME SWITCHING AND THE MONETARY ECONOMY. [Thesis]. University of Oregon; 2016. Available from: http://hdl.handle.net/1794/20531

Not specified: Masters Thesis or Doctoral Dissertation

University of Southern California

7.
Chen, Jianfu.
Forward-backward stochastic differential equations with
discontinuous coefficient and *regime* *switching* term structure
model.

Degree: PhD, Applied Mathematics, 2011, University of Southern California

URL: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/444005/rec/2876

► In this dissertation, we propose a *regime* switch term structure model built as forward-backward stochastic differential equations. We first generalize the model and study the…
(more)

Subjects/Keywords: discontinuous coefficient; regime switching; stochastic differential equations

Record Details Similar Records

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APA (6^{th} Edition):

Chen, J. (2011). Forward-backward stochastic differential equations with discontinuous coefficient and regime switching term structure model. (Doctoral Dissertation). University of Southern California. Retrieved from http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/444005/rec/2876

Chicago Manual of Style (16^{th} Edition):

Chen, Jianfu. “Forward-backward stochastic differential equations with discontinuous coefficient and regime switching term structure model.” 2011. Doctoral Dissertation, University of Southern California. Accessed August 25, 2019. http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/444005/rec/2876.

MLA Handbook (7^{th} Edition):

Chen, Jianfu. “Forward-backward stochastic differential equations with discontinuous coefficient and regime switching term structure model.” 2011. Web. 25 Aug 2019.

Vancouver:

Chen J. Forward-backward stochastic differential equations with discontinuous coefficient and regime switching term structure model. [Internet] [Doctoral dissertation]. University of Southern California; 2011. [cited 2019 Aug 25]. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/444005/rec/2876.

Council of Science Editors:

Chen J. Forward-backward stochastic differential equations with discontinuous coefficient and regime switching term structure model. [Doctoral Dissertation]. University of Southern California; 2011. Available from: http://digitallibrary.usc.edu/cdm/compoundobject/collection/p15799coll127/id/444005/rec/2876

University of New South Wales

8.
Zhang, Mengzhe.
Pricing Financial Derivatives Under the *Regime*-*Switching* Models.

Degree: Mathematics & Statistics, 2017, University of New South Wales

URL: http://handle.unsw.edu.au/1959.4/57663 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:44485/SOURCE02?view=true

► While several empirical studies find evidence for the existence of *regime*-*switching* (RS) effect on stock/future prices, see Vo (2009), Chan (2009), and Ang and Timmermann…
(more)

Subjects/Keywords: regime-switching model; option pricing; saddlepoint approximation

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APA (6^{th} Edition):

Zhang, M. (2017). Pricing Financial Derivatives Under the Regime-Switching Models. (Doctoral Dissertation). University of New South Wales. Retrieved from http://handle.unsw.edu.au/1959.4/57663 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:44485/SOURCE02?view=true

Chicago Manual of Style (16^{th} Edition):

Zhang, Mengzhe. “Pricing Financial Derivatives Under the Regime-Switching Models.” 2017. Doctoral Dissertation, University of New South Wales. Accessed August 25, 2019. http://handle.unsw.edu.au/1959.4/57663 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:44485/SOURCE02?view=true.

MLA Handbook (7^{th} Edition):

Zhang, Mengzhe. “Pricing Financial Derivatives Under the Regime-Switching Models.” 2017. Web. 25 Aug 2019.

Vancouver:

Zhang M. Pricing Financial Derivatives Under the Regime-Switching Models. [Internet] [Doctoral dissertation]. University of New South Wales; 2017. [cited 2019 Aug 25]. Available from: http://handle.unsw.edu.au/1959.4/57663 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:44485/SOURCE02?view=true.

Council of Science Editors:

Zhang M. Pricing Financial Derivatives Under the Regime-Switching Models. [Doctoral Dissertation]. University of New South Wales; 2017. Available from: http://handle.unsw.edu.au/1959.4/57663 ; https://unsworks.unsw.edu.au/fapi/datastream/unsworks:44485/SOURCE02?view=true

Uppsala University

9. Okumu, Emmanuel Latim. Non-linear prediction in the presence of macroeconomic regimes.

Degree: Statistics, 2016, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297222

► This paper studies the predictive performance and in-sample dynamics of three *regime* *switching* models for Swedish macroeconomic time series. The models discussed are threshold…
(more)

Subjects/Keywords: Markov Switching; Regime Switching; Smooth-transition; Time-varying parameters; Threshold model

Record Details Similar Records

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APA (6^{th} Edition):

Okumu, E. L. (2016). Non-linear prediction in the presence of macroeconomic regimes. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297222

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Okumu, Emmanuel Latim. “Non-linear prediction in the presence of macroeconomic regimes.” 2016. Thesis, Uppsala University. Accessed August 25, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297222.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Okumu, Emmanuel Latim. “Non-linear prediction in the presence of macroeconomic regimes.” 2016. Web. 25 Aug 2019.

Vancouver:

Okumu EL. Non-linear prediction in the presence of macroeconomic regimes. [Internet] [Thesis]. Uppsala University; 2016. [cited 2019 Aug 25]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297222.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Okumu EL. Non-linear prediction in the presence of macroeconomic regimes. [Thesis]. Uppsala University; 2016. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297222

Not specified: Masters Thesis or Doctoral Dissertation

10.
Rojas Duran, William Gonzalo.
Modelo GARCH com mudança de *regime* markoviano para séries financeiras.

Degree: Mestrado, Estatística, 2014, University of São Paulo

URL: http://www.teses.usp.br/teses/disponiveis/45/45133/tde-02072014-122143/ ;

►

Neste trabalho analisaremos a utilização dos modelos de mudança de *regime* markoviano para a variância condicional. Estes modelos podem estimar de maneira fácil e inteligente…
(more)

Subjects/Keywords: GARCH models; Markov regime switching; Modelos GARCH; Mudança de regime markoviano; Volatilidade; Volatility

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APA (6^{th} Edition):

Rojas Duran, W. G. (2014). Modelo GARCH com mudança de regime markoviano para séries financeiras. (Masters Thesis). University of São Paulo. Retrieved from http://www.teses.usp.br/teses/disponiveis/45/45133/tde-02072014-122143/ ;

Chicago Manual of Style (16^{th} Edition):

Rojas Duran, William Gonzalo. “Modelo GARCH com mudança de regime markoviano para séries financeiras.” 2014. Masters Thesis, University of São Paulo. Accessed August 25, 2019. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-02072014-122143/ ;.

MLA Handbook (7^{th} Edition):

Rojas Duran, William Gonzalo. “Modelo GARCH com mudança de regime markoviano para séries financeiras.” 2014. Web. 25 Aug 2019.

Vancouver:

Rojas Duran WG. Modelo GARCH com mudança de regime markoviano para séries financeiras. [Internet] [Masters thesis]. University of São Paulo; 2014. [cited 2019 Aug 25]. Available from: http://www.teses.usp.br/teses/disponiveis/45/45133/tde-02072014-122143/ ;.

Council of Science Editors:

Rojas Duran WG. Modelo GARCH com mudança de regime markoviano para séries financeiras. [Masters Thesis]. University of São Paulo; 2014. Available from: http://www.teses.usp.br/teses/disponiveis/45/45133/tde-02072014-122143/ ;

University of Adelaide

11.
Lewis, Angus.
Inference of Markovian-*regime*-*switching* models with application to South Australian electricity prices.

Degree: 2018, University of Adelaide

URL: http://hdl.handle.net/2440/120418

► Markovian-*Regime*-*Switching* (MRS) models are commonly used for modelling economic time series, including electricity prices. In this application it is common to include inde- pendent regimes…
(more)

Subjects/Keywords: Regime-Switching Time-series; independent regime; forward-backward algorithm; expectation maximisation; data-augmented MCMC

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APA (6^{th} Edition):

Lewis, A. (2018). Inference of Markovian-regime-switching models with application to South Australian electricity prices. (Thesis). University of Adelaide. Retrieved from http://hdl.handle.net/2440/120418

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Lewis, Angus. “Inference of Markovian-regime-switching models with application to South Australian electricity prices.” 2018. Thesis, University of Adelaide. Accessed August 25, 2019. http://hdl.handle.net/2440/120418.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Lewis, Angus. “Inference of Markovian-regime-switching models with application to South Australian electricity prices.” 2018. Web. 25 Aug 2019.

Vancouver:

Lewis A. Inference of Markovian-regime-switching models with application to South Australian electricity prices. [Internet] [Thesis]. University of Adelaide; 2018. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/2440/120418.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Lewis A. Inference of Markovian-regime-switching models with application to South Australian electricity prices. [Thesis]. University of Adelaide; 2018. Available from: http://hdl.handle.net/2440/120418

Not specified: Masters Thesis or Doctoral Dissertation

Technical University of Lisbon

12. Boavida, João Pedro do Carmo. Excess returns and normality.

Degree: 2011, Technical University of Lisbon

URL: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/3416

►

Mestrado em Economia Monetária e Financeira

In this dissertation, I assess under which circumstances normality can be a good descriptive model for the U.S. excess… (more)

Subjects/Keywords: Excess returns; Normalidade; Quebras de Estrutura; Regime Switching; Agregacão Temporal; Excess returns; Normality; Structural breaks; regime switching; Time aggregation

Record Details Similar Records

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APA (6^{th} Edition):

Boavida, J. P. d. C. (2011). Excess returns and normality. (Thesis). Technical University of Lisbon. Retrieved from http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/3416

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Boavida, João Pedro do Carmo. “Excess returns and normality.” 2011. Thesis, Technical University of Lisbon. Accessed August 25, 2019. http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/3416.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Boavida, João Pedro do Carmo. “Excess returns and normality.” 2011. Web. 25 Aug 2019.

Vancouver:

Boavida JPdC. Excess returns and normality. [Internet] [Thesis]. Technical University of Lisbon; 2011. [cited 2019 Aug 25]. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/3416.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Boavida JPdC. Excess returns and normality. [Thesis]. Technical University of Lisbon; 2011. Available from: http://www.rcaap.pt/detail.jsp?id=oai:www.repository.utl.pt:10400.5/3416

Not specified: Masters Thesis or Doctoral Dissertation

Humboldt University of Berlin

13.
Bochmann, Paul.
Multivariate systemic risk: evidence from a *regime*-*switching* factor copula.

Degree: 2016, Humboldt University of Berlin

URL: http://edoc.hu-berlin.de/docviews/abstract.php?id=43079 ; http://edoc.hu-berlin.de/master/bochmann-paul-2016-10-28/PDF/bochmann.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100242548

►

In dieser Arbeit werden neue dynamische Modelle für die Copula von hoch-dimensionalen Finanzmarktdatensätzen entwickelt. Die Modelle basieren auf kürzlich entwickelten Faktor-Copula-Modellen, welche wir um *regime*-*switching*…
(more)

Subjects/Keywords: Statistik; Wirtschaft; systemic risk; Copula; Markov-switching; regime-switching; systemisches Risiko; Staatschuldenkrise; gopula; Markov-switching; regime-switching; government debt crisis; ddc:330

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Bochmann, P. (2016). Multivariate systemic risk: evidence from a regime-switching factor copula. (Masters Thesis). Humboldt University of Berlin. Retrieved from http://edoc.hu-berlin.de/docviews/abstract.php?id=43079 ; http://edoc.hu-berlin.de/master/bochmann-paul-2016-10-28/PDF/bochmann.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100242548

Chicago Manual of Style (16^{th} Edition):

Bochmann, Paul. “Multivariate systemic risk: evidence from a regime-switching factor copula.” 2016. Masters Thesis, Humboldt University of Berlin. Accessed August 25, 2019. http://edoc.hu-berlin.de/docviews/abstract.php?id=43079 ; http://edoc.hu-berlin.de/master/bochmann-paul-2016-10-28/PDF/bochmann.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100242548.

MLA Handbook (7^{th} Edition):

Bochmann, Paul. “Multivariate systemic risk: evidence from a regime-switching factor copula.” 2016. Web. 25 Aug 2019.

Vancouver:

Bochmann P. Multivariate systemic risk: evidence from a regime-switching factor copula. [Internet] [Masters thesis]. Humboldt University of Berlin; 2016. [cited 2019 Aug 25]. Available from: http://edoc.hu-berlin.de/docviews/abstract.php?id=43079 ; http://edoc.hu-berlin.de/master/bochmann-paul-2016-10-28/PDF/bochmann.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100242548.

Council of Science Editors:

Bochmann P. Multivariate systemic risk: evidence from a regime-switching factor copula. [Masters Thesis]. Humboldt University of Berlin; 2016. Available from: http://edoc.hu-berlin.de/docviews/abstract.php?id=43079 ; http://edoc.hu-berlin.de/master/bochmann-paul-2016-10-28/PDF/bochmann.pdf ; http://www.nbn-resolving.de/urn:nbn:de:kobv:11-100242548

University of Georgia

14.
Shin, Dong-Hoon.
*Regime**switching* models and applications in optimal selling rules and options pricing.

Degree: PhD, Mathematics, 2009, University of Georgia

URL: http://purl.galileo.usg.edu/uga_etd/shin_dong-hoon_200908_phd

► We consider optimal selling rules for stocks and options pricing under a *regime*-*switching* model which consists of a set of geometric Brownian motions. We introduce…
(more)

Subjects/Keywords: optimal stopping; viscosity solution; mean-reverting process; regime switching

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Shin, D. (2009). Regime switching models and applications in optimal selling rules and options pricing. (Doctoral Dissertation). University of Georgia. Retrieved from http://purl.galileo.usg.edu/uga_etd/shin_dong-hoon_200908_phd

Chicago Manual of Style (16^{th} Edition):

Shin, Dong-Hoon. “Regime switching models and applications in optimal selling rules and options pricing.” 2009. Doctoral Dissertation, University of Georgia. Accessed August 25, 2019. http://purl.galileo.usg.edu/uga_etd/shin_dong-hoon_200908_phd.

MLA Handbook (7^{th} Edition):

Shin, Dong-Hoon. “Regime switching models and applications in optimal selling rules and options pricing.” 2009. Web. 25 Aug 2019.

Vancouver:

Shin D. Regime switching models and applications in optimal selling rules and options pricing. [Internet] [Doctoral dissertation]. University of Georgia; 2009. [cited 2019 Aug 25]. Available from: http://purl.galileo.usg.edu/uga_etd/shin_dong-hoon_200908_phd.

Council of Science Editors:

Shin D. Regime switching models and applications in optimal selling rules and options pricing. [Doctoral Dissertation]. University of Georgia; 2009. Available from: http://purl.galileo.usg.edu/uga_etd/shin_dong-hoon_200908_phd

NSYSU

15. Tzeng, Yu-chieh. A Study of Foreign Exchange Reform Problems on Reminbi Internationalization- An Empirical Analysis of Two Dimensions Between US Dollar and SDR.

Degree: Master, Finance, 2017, NSYSU

URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0116117-152625

► Since 2005, China began a decade exchange rate reform and started the process to join the Special Drawing Rights (SDR). Getting through the 2008 financial…
(more)

Subjects/Keywords: Markov Regime Switching Model; VAR; VECM; SDR; RMB

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Tzeng, Y. (2017). A Study of Foreign Exchange Reform Problems on Reminbi Internationalization- An Empirical Analysis of Two Dimensions Between US Dollar and SDR. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0116117-152625

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Tzeng, Yu-chieh. “A Study of Foreign Exchange Reform Problems on Reminbi Internationalization- An Empirical Analysis of Two Dimensions Between US Dollar and SDR.” 2017. Thesis, NSYSU. Accessed August 25, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0116117-152625.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Tzeng, Yu-chieh. “A Study of Foreign Exchange Reform Problems on Reminbi Internationalization- An Empirical Analysis of Two Dimensions Between US Dollar and SDR.” 2017. Web. 25 Aug 2019.

Vancouver:

Tzeng Y. A Study of Foreign Exchange Reform Problems on Reminbi Internationalization- An Empirical Analysis of Two Dimensions Between US Dollar and SDR. [Internet] [Thesis]. NSYSU; 2017. [cited 2019 Aug 25]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0116117-152625.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tzeng Y. A Study of Foreign Exchange Reform Problems on Reminbi Internationalization- An Empirical Analysis of Two Dimensions Between US Dollar and SDR. [Thesis]. NSYSU; 2017. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0116117-152625

Not specified: Masters Thesis or Doctoral Dissertation

NSYSU

16. Fang, Hong-Jhuang. The Impacts of Advertising and Customer Satisfaction on Shareholder Value under Different Volatility Market States.

Degree: Master, Finance, 2012, NSYSU

URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0625112-032908

► This study tires to find out how a firmâs advertising and customer satisfaction influence firmsâ abnormal return and we uses the abnormal return (i.e. Jensneâs…
(more)

Subjects/Keywords: Advertising; Customer Satisfaction; Idiosyncratic Risk; Markov Regime Switching Model; Abnormal Return

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Fang, H. (2012). The Impacts of Advertising and Customer Satisfaction on Shareholder Value under Different Volatility Market States. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0625112-032908

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Fang, Hong-Jhuang. “The Impacts of Advertising and Customer Satisfaction on Shareholder Value under Different Volatility Market States.” 2012. Thesis, NSYSU. Accessed August 25, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0625112-032908.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Fang, Hong-Jhuang. “The Impacts of Advertising and Customer Satisfaction on Shareholder Value under Different Volatility Market States.” 2012. Web. 25 Aug 2019.

Vancouver:

Fang H. The Impacts of Advertising and Customer Satisfaction on Shareholder Value under Different Volatility Market States. [Internet] [Thesis]. NSYSU; 2012. [cited 2019 Aug 25]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0625112-032908.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Fang H. The Impacts of Advertising and Customer Satisfaction on Shareholder Value under Different Volatility Market States. [Thesis]. NSYSU; 2012. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0625112-032908

Not specified: Masters Thesis or Doctoral Dissertation

NSYSU

17.
Li, Hsun-Chiang.
Market and Behavioral Factors on Stock Returns-The Application of Markov *Regime*-*Switching* Models.

Degree: Master, Finance, 2011, NSYSU

URL: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0826111-011537

► In this paper, we use a Fama-French model and Markov *regime*-*switching* model to capture time series behavior of many financial variable. Alternatively, classification by cluster…
(more)

Subjects/Keywords: Markov Regime-switching; Stock returns; Investors sentiment; Risk factors; Cluster analysis

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Li, H. (2011). Market and Behavioral Factors on Stock Returns-The Application of Markov Regime-Switching Models. (Thesis). NSYSU. Retrieved from http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0826111-011537

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Li, Hsun-Chiang. “Market and Behavioral Factors on Stock Returns-The Application of Markov Regime-Switching Models.” 2011. Thesis, NSYSU. Accessed August 25, 2019. http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0826111-011537.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Li, Hsun-Chiang. “Market and Behavioral Factors on Stock Returns-The Application of Markov Regime-Switching Models.” 2011. Web. 25 Aug 2019.

Vancouver:

Li H. Market and Behavioral Factors on Stock Returns-The Application of Markov Regime-Switching Models. [Internet] [Thesis]. NSYSU; 2011. [cited 2019 Aug 25]. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0826111-011537.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Li H. Market and Behavioral Factors on Stock Returns-The Application of Markov Regime-Switching Models. [Thesis]. NSYSU; 2011. Available from: http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0826111-011537

Not specified: Masters Thesis or Doctoral Dissertation

UCLA

18.
Wisner, Tristan Gardner.
Covariance Estimation with Markov-*Switching* Generalized Autoregressive Conditional Heteroskedasticity Models Applications to Portfolio Management.

Degree: Statistics, 2017, UCLA

URL: http://www.escholarship.org/uc/item/8m94c90z

► The objective of this paper is to implement and test the multivariate *regime*-*switching* GARCH model as a potential improvement on traditional methods for estimating the…
(more)

Subjects/Keywords: Statistics; Finance; GARCH; Portfolio management; Regime-switching; Risk; Value-at-Risk

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Wisner, T. G. (2017). Covariance Estimation with Markov-Switching Generalized Autoregressive Conditional Heteroskedasticity Models Applications to Portfolio Management. (Thesis). UCLA. Retrieved from http://www.escholarship.org/uc/item/8m94c90z

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Wisner, Tristan Gardner. “Covariance Estimation with Markov-Switching Generalized Autoregressive Conditional Heteroskedasticity Models Applications to Portfolio Management.” 2017. Thesis, UCLA. Accessed August 25, 2019. http://www.escholarship.org/uc/item/8m94c90z.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Wisner, Tristan Gardner. “Covariance Estimation with Markov-Switching Generalized Autoregressive Conditional Heteroskedasticity Models Applications to Portfolio Management.” 2017. Web. 25 Aug 2019.

Vancouver:

Wisner TG. Covariance Estimation with Markov-Switching Generalized Autoregressive Conditional Heteroskedasticity Models Applications to Portfolio Management. [Internet] [Thesis]. UCLA; 2017. [cited 2019 Aug 25]. Available from: http://www.escholarship.org/uc/item/8m94c90z.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wisner TG. Covariance Estimation with Markov-Switching Generalized Autoregressive Conditional Heteroskedasticity Models Applications to Portfolio Management. [Thesis]. UCLA; 2017. Available from: http://www.escholarship.org/uc/item/8m94c90z

Not specified: Masters Thesis or Doctoral Dissertation

University of California – Riverside

19.
Su, Yanpin.
Structural Breaks and *Regime* Shifts in Financial and Macroeconomic Sectors.

Degree: Economics, 2014, University of California – Riverside

URL: http://www.escholarship.org/uc/item/3hm098p1

► This dissertation focuses on the extensions of the Markov *switching* model (both univariate and multivariate time series) with applications in financial and macroeconomic sectors. Chapter…
(more)

Subjects/Keywords: Economics; Business Cycles; GIRF; Markov Switching Model; Regime Shifts; Structural Breaks

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Su, Y. (2014). Structural Breaks and Regime Shifts in Financial and Macroeconomic Sectors. (Thesis). University of California – Riverside. Retrieved from http://www.escholarship.org/uc/item/3hm098p1

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Su, Yanpin. “Structural Breaks and Regime Shifts in Financial and Macroeconomic Sectors.” 2014. Thesis, University of California – Riverside. Accessed August 25, 2019. http://www.escholarship.org/uc/item/3hm098p1.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Su, Yanpin. “Structural Breaks and Regime Shifts in Financial and Macroeconomic Sectors.” 2014. Web. 25 Aug 2019.

Vancouver:

Su Y. Structural Breaks and Regime Shifts in Financial and Macroeconomic Sectors. [Internet] [Thesis]. University of California – Riverside; 2014. [cited 2019 Aug 25]. Available from: http://www.escholarship.org/uc/item/3hm098p1.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Su Y. Structural Breaks and Regime Shifts in Financial and Macroeconomic Sectors. [Thesis]. University of California – Riverside; 2014. Available from: http://www.escholarship.org/uc/item/3hm098p1

Not specified: Masters Thesis or Doctoral Dissertation

University of Manchester

20. Liu, Liu. Essays in Asset Pricing.

Degree: 2017, University of Manchester

URL: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:307095

► This thesis improves our understanding of asset prices and returns as it documents a *regime* shift risk premium in currencies, corrects the estimation bias in…
(more)

Subjects/Keywords: asset pricing; carry trade; term structure models; ambiguity aversion; regime switching

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Liu, L. (2017). Essays in Asset Pricing. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:307095

Chicago Manual of Style (16^{th} Edition):

Liu, Liu. “Essays in Asset Pricing.” 2017. Doctoral Dissertation, University of Manchester. Accessed August 25, 2019. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:307095.

MLA Handbook (7^{th} Edition):

Liu, Liu. “Essays in Asset Pricing.” 2017. Web. 25 Aug 2019.

Vancouver:

Liu L. Essays in Asset Pricing. [Internet] [Doctoral dissertation]. University of Manchester; 2017. [cited 2019 Aug 25]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:307095.

Council of Science Editors:

Liu L. Essays in Asset Pricing. [Doctoral Dissertation]. University of Manchester; 2017. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:307095

University of Houston

21. Tepe, Fatma S. Essays on Monetary Policy and Financial Markets.

Degree: Economics, Department of, 2014, University of Houston

URL: http://hdl.handle.net/10657/1282

► This dissertation examines the interaction between macroeconomic aggregates and financial markets in two different essays. The expansion of derivatives markets has prompted interest in estimating…
(more)

Subjects/Keywords: monetary policy; regime switching; risk neutral density; crude oil

Record Details Similar Records

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APA (6^{th} Edition):

Tepe, F. S. (2014). Essays on Monetary Policy and Financial Markets. (Thesis). University of Houston. Retrieved from http://hdl.handle.net/10657/1282

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Tepe, Fatma S. “Essays on Monetary Policy and Financial Markets.” 2014. Thesis, University of Houston. Accessed August 25, 2019. http://hdl.handle.net/10657/1282.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Tepe, Fatma S. “Essays on Monetary Policy and Financial Markets.” 2014. Web. 25 Aug 2019.

Vancouver:

Tepe FS. Essays on Monetary Policy and Financial Markets. [Internet] [Thesis]. University of Houston; 2014. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/10657/1282.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Tepe FS. Essays on Monetary Policy and Financial Markets. [Thesis]. University of Houston; 2014. Available from: http://hdl.handle.net/10657/1282

Not specified: Masters Thesis or Doctoral Dissertation

Uppsala University

22.
Andersson, Sebastian.
On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-*Switching* Alternatives.

Degree: Statistics, 2014, Uppsala University

URL: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226918

► In this paper, focus is on the global vector autoregressive (GVAR) model. Its attractiveness stems from an ability to incorporate global interdependencies when modeling…
(more)

Subjects/Keywords: GVAR; VAR; time-varying; regime switching; macroeconometrics; global

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Andersson, S. (2014). On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives. (Thesis). Uppsala University. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226918

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Andersson, Sebastian. “On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives.” 2014. Thesis, Uppsala University. Accessed August 25, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226918.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Andersson, Sebastian. “On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives.” 2014. Web. 25 Aug 2019.

Vancouver:

Andersson S. On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives. [Internet] [Thesis]. Uppsala University; 2014. [cited 2019 Aug 25]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226918.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Andersson S. On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives. [Thesis]. Uppsala University; 2014. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226918

Not specified: Masters Thesis or Doctoral Dissertation

Kansas State University

23. Ahmed, Mohammad Iqbal. Essays in asymmetric empirical macroeconomics.

Degree: PhD, Department of Economics, 2017, Kansas State University

URL: http://hdl.handle.net/2097/36208

► This dissertation consists of three essays in asymmetric empirical macroeconomics. Making macroeconomic policies has become increasingly difficult because of intricate relationships among macroeconomic variables. In…
(more)

Subjects/Keywords: Capacity utilization; Threshold cointegration; Consumer confidence; Local projection; Regime switching; Expectations

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Ahmed, M. I. (2017). Essays in asymmetric empirical macroeconomics. (Doctoral Dissertation). Kansas State University. Retrieved from http://hdl.handle.net/2097/36208

Chicago Manual of Style (16^{th} Edition):

Ahmed, Mohammad Iqbal. “Essays in asymmetric empirical macroeconomics.” 2017. Doctoral Dissertation, Kansas State University. Accessed August 25, 2019. http://hdl.handle.net/2097/36208.

MLA Handbook (7^{th} Edition):

Ahmed, Mohammad Iqbal. “Essays in asymmetric empirical macroeconomics.” 2017. Web. 25 Aug 2019.

Vancouver:

Ahmed MI. Essays in asymmetric empirical macroeconomics. [Internet] [Doctoral dissertation]. Kansas State University; 2017. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/2097/36208.

Council of Science Editors:

Ahmed MI. Essays in asymmetric empirical macroeconomics. [Doctoral Dissertation]. Kansas State University; 2017. Available from: http://hdl.handle.net/2097/36208

University of Wollongong

24. Putri, Endah R M. Stock Loans Valuation.

Degree: 2014, University of Wollongong

URL: ; https://ro.uow.edu.au/theses/4234

► Stock loans have been recognized as a popular financial contract and considered as an alternative for investors to increase liquidity. Consequently, an accurate and…
(more)

Subjects/Keywords: American Option; barrier option; regime-switching; stock loan

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Putri, E. R. M. (2014). Stock Loans Valuation. (Thesis). University of Wollongong. Retrieved from ; https://ro.uow.edu.au/theses/4234

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Putri, Endah R M. “Stock Loans Valuation.” 2014. Thesis, University of Wollongong. Accessed August 25, 2019. ; https://ro.uow.edu.au/theses/4234.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Putri, Endah R M. “Stock Loans Valuation.” 2014. Web. 25 Aug 2019.

Vancouver:

Putri ERM. Stock Loans Valuation. [Internet] [Thesis]. University of Wollongong; 2014. [cited 2019 Aug 25]. Available from: ; https://ro.uow.edu.au/theses/4234.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Putri ERM. Stock Loans Valuation. [Thesis]. University of Wollongong; 2014. Available from: ; https://ro.uow.edu.au/theses/4234

Not specified: Masters Thesis or Doctoral Dissertation

Rice University

25. MELNIKOV, OLEG. Dynamic Characterization of Multivariate Time Series.

Degree: PhD, Engineering, 2017, Rice University

URL: http://hdl.handle.net/1911/105581

► The standard non-negative matrix factorization focuses on batch learning assuming that the fixed global latent parameters completely describe the observations. Many online extensions assume rigid…
(more)

Subjects/Keywords: regime switching; non-negative matrix factorization; principal component analysis; time series

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

MELNIKOV, O. (2017). Dynamic Characterization of Multivariate Time Series. (Doctoral Dissertation). Rice University. Retrieved from http://hdl.handle.net/1911/105581

Chicago Manual of Style (16^{th} Edition):

MELNIKOV, OLEG. “Dynamic Characterization of Multivariate Time Series.” 2017. Doctoral Dissertation, Rice University. Accessed August 25, 2019. http://hdl.handle.net/1911/105581.

MLA Handbook (7^{th} Edition):

MELNIKOV, OLEG. “Dynamic Characterization of Multivariate Time Series.” 2017. Web. 25 Aug 2019.

Vancouver:

MELNIKOV O. Dynamic Characterization of Multivariate Time Series. [Internet] [Doctoral dissertation]. Rice University; 2017. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/1911/105581.

Council of Science Editors:

MELNIKOV O. Dynamic Characterization of Multivariate Time Series. [Doctoral Dissertation]. Rice University; 2017. Available from: http://hdl.handle.net/1911/105581

Wayne State University

26.
Reed, Jason Robert.
Essays In Adaptive Learning And Mean-Square Stability In *Regime* *Switching* Models.

Degree: PhD, Economics, 2015, Wayne State University

URL: https://digitalcommons.wayne.edu/oa_dissertations/1363

► The first chapter of this dissertation analyzes the necessary and sufficient conditions for stability under recurring structural changes. Using a finite state Markov process…
(more)

Subjects/Keywords: Adaptive Learning; Markov switching; Mean-Square Stability; Regime changes; Economics

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Reed, J. R. (2015). Essays In Adaptive Learning And Mean-Square Stability In Regime Switching Models. (Doctoral Dissertation). Wayne State University. Retrieved from https://digitalcommons.wayne.edu/oa_dissertations/1363

Chicago Manual of Style (16^{th} Edition):

Reed, Jason Robert. “Essays In Adaptive Learning And Mean-Square Stability In Regime Switching Models.” 2015. Doctoral Dissertation, Wayne State University. Accessed August 25, 2019. https://digitalcommons.wayne.edu/oa_dissertations/1363.

MLA Handbook (7^{th} Edition):

Reed, Jason Robert. “Essays In Adaptive Learning And Mean-Square Stability In Regime Switching Models.” 2015. Web. 25 Aug 2019.

Vancouver:

Reed JR. Essays In Adaptive Learning And Mean-Square Stability In Regime Switching Models. [Internet] [Doctoral dissertation]. Wayne State University; 2015. [cited 2019 Aug 25]. Available from: https://digitalcommons.wayne.edu/oa_dissertations/1363.

Council of Science Editors:

Reed JR. Essays In Adaptive Learning And Mean-Square Stability In Regime Switching Models. [Doctoral Dissertation]. Wayne State University; 2015. Available from: https://digitalcommons.wayne.edu/oa_dissertations/1363

27.
Qiu, Chao.
Option Pricing and Hedging Analysis under *Regime*-*switching* Models.

Degree: 2013, University of Waterloo

URL: http://hdl.handle.net/10012/7433

► This thesis explores option pricing and hedging in a discrete time *regime*-*switching* environment. If the *regime* risk cannot be hedged away, then we cannot ignore…
(more)

Subjects/Keywords: Regime switching; Esscher Transform

…*regime* *switching* models, with geometric weights (1/3,
1/3, 1/3) and positive… …164
xii
List of Figures
1.1
Decomposition of uncertainty for Yt+1 under *regime* *switching*… …models
3
1.2 Illustration of the uncertainty for pricing under *regime* *switching* models
5… …169
xv
Chapter 1
Pricing European Options under
Markov *Regime*-*switching* Models
with the… …Esscher Transform
1.1
Introduction
The *regime* *switching* framework for modeling econometric…

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Qiu, C. (2013). Option Pricing and Hedging Analysis under Regime-switching Models. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/7433

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Qiu, Chao. “Option Pricing and Hedging Analysis under Regime-switching Models.” 2013. Thesis, University of Waterloo. Accessed August 25, 2019. http://hdl.handle.net/10012/7433.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Qiu, Chao. “Option Pricing and Hedging Analysis under Regime-switching Models.” 2013. Web. 25 Aug 2019.

Vancouver:

Qiu C. Option Pricing and Hedging Analysis under Regime-switching Models. [Internet] [Thesis]. University of Waterloo; 2013. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/10012/7433.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Qiu C. Option Pricing and Hedging Analysis under Regime-switching Models. [Thesis]. University of Waterloo; 2013. Available from: http://hdl.handle.net/10012/7433

Not specified: Masters Thesis or Doctoral Dissertation

University of Kansas

28. Li, Chaozheng. Learning, Observability and Time-varying Macroeconomic Volatility.

Degree: PhD, Economics, 2018, University of Kansas

URL: http://hdl.handle.net/1808/27889

► Our paper provides a theoretical explanation for the time-varying macroeconomic volatility by introducing the unobservability of *regime* *switching* and learning. With the unobservability of *regime*…
(more)

Subjects/Keywords: Economics; Learning; Macroeconomic Volatility; Observability; Regime Switching; Time-varying

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Li, C. (2018). Learning, Observability and Time-varying Macroeconomic Volatility. (Doctoral Dissertation). University of Kansas. Retrieved from http://hdl.handle.net/1808/27889

Chicago Manual of Style (16^{th} Edition):

Li, Chaozheng. “Learning, Observability and Time-varying Macroeconomic Volatility.” 2018. Doctoral Dissertation, University of Kansas. Accessed August 25, 2019. http://hdl.handle.net/1808/27889.

MLA Handbook (7^{th} Edition):

Li, Chaozheng. “Learning, Observability and Time-varying Macroeconomic Volatility.” 2018. Web. 25 Aug 2019.

Vancouver:

Li C. Learning, Observability and Time-varying Macroeconomic Volatility. [Internet] [Doctoral dissertation]. University of Kansas; 2018. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/1808/27889.

Council of Science Editors:

Li C. Learning, Observability and Time-varying Macroeconomic Volatility. [Doctoral Dissertation]. University of Kansas; 2018. Available from: http://hdl.handle.net/1808/27889

University of Sydney

29.
Fitzpatrick, Matthew Anthony.
Multi-*regime* models involving Markov chains
.

Degree: 2016, University of Sydney

URL: http://hdl.handle.net/2123/14530

► In this work, we explore the theory and applications of various multi-*regime* models involving Markov chains. Markov chains are an elegant way to model path-dependent…
(more)

Subjects/Keywords: Mixture models; Regime-switching; Change-point; MCMC; EM-Algorithm; Markov Chains

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Fitzpatrick, M. A. (2016). Multi-regime models involving Markov chains . (Thesis). University of Sydney. Retrieved from http://hdl.handle.net/2123/14530

Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^{th} Edition):

Fitzpatrick, Matthew Anthony. “Multi-regime models involving Markov chains .” 2016. Thesis, University of Sydney. Accessed August 25, 2019. http://hdl.handle.net/2123/14530.

Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^{th} Edition):

Fitzpatrick, Matthew Anthony. “Multi-regime models involving Markov chains .” 2016. Web. 25 Aug 2019.

Vancouver:

Fitzpatrick MA. Multi-regime models involving Markov chains . [Internet] [Thesis]. University of Sydney; 2016. [cited 2019 Aug 25]. Available from: http://hdl.handle.net/2123/14530.

Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Fitzpatrick MA. Multi-regime models involving Markov chains . [Thesis]. University of Sydney; 2016. Available from: http://hdl.handle.net/2123/14530

Not specified: Masters Thesis or Doctoral Dissertation

30. Luiz Henrique Batistuta Gomide. Valor presente e preço dos ativos : um teste para a presença de bolhas no Ibovespa.

Degree: 2009, Universidade Católica de Brasilia

URL: http://www.bdtd.ucb.br/tede/tde_busca/arquivo.php?codArquivo=1026

►

O objetivo dessa dissertação é desenvolver um modelo com taxa de juros variável para calcular o valor presente dos ativos e testar a hipótese da… (more)

Subjects/Keywords: valor presente; bolhas especulativas; mudança de regime; ECONOMIA; bolsa de valores - São Paulo; Juros; value; bubbles; regime-switching; ECONOMIA

Record Details Similar Records

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^{th} Edition):

Gomide, L. H. B. (2009). Valor presente e preço dos ativos : um teste para a presença de bolhas no Ibovespa. (Masters Thesis). Universidade Católica de Brasilia. Retrieved from http://www.bdtd.ucb.br/tede/tde_busca/arquivo.php?codArquivo=1026

Chicago Manual of Style (16^{th} Edition):

Gomide, Luiz Henrique Batistuta. “Valor presente e preço dos ativos : um teste para a presença de bolhas no Ibovespa.” 2009. Masters Thesis, Universidade Católica de Brasilia. Accessed August 25, 2019. http://www.bdtd.ucb.br/tede/tde_busca/arquivo.php?codArquivo=1026.

MLA Handbook (7^{th} Edition):

Gomide, Luiz Henrique Batistuta. “Valor presente e preço dos ativos : um teste para a presença de bolhas no Ibovespa.” 2009. Web. 25 Aug 2019.

Vancouver:

Gomide LHB. Valor presente e preço dos ativos : um teste para a presença de bolhas no Ibovespa. [Internet] [Masters thesis]. Universidade Católica de Brasilia; 2009. [cited 2019 Aug 25]. Available from: http://www.bdtd.ucb.br/tede/tde_busca/arquivo.php?codArquivo=1026.

Council of Science Editors:

Gomide LHB. Valor presente e preço dos ativos : um teste para a presença de bolhas no Ibovespa. [Masters Thesis]. Universidade Católica de Brasilia; 2009. Available from: http://www.bdtd.ucb.br/tede/tde_busca/arquivo.php?codArquivo=1026