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You searched for subject:(regime switching). Showing records 1 – 30 of 146 total matches.

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University of Georgia

1. Yu, Jie. Regime-switching models with mean reversion and applications in option pricing.

Degree: PhD, Mathematics, 2009, University of Georgia

 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

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APA (6th 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 (16th 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 (7th 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

 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

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APA (6th 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 (16th 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 (7th 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

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

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 (6th 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 (16th 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 (7th 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

 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

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APA (6th 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 (16th 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 (7th 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

 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… 

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APA (6th 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 (16th 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 (7th 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

 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

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APA (6th Edition):

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

 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

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APA (6th 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 (16th 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 (7th 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

 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 (6th 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 (16th 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 (7th 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

  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

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

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 (6th 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 (16th 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 (7th 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

 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 (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

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

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

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

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APA (6th 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 (16th 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 (7th 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

 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 (6th 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 (16th 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 (7th 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

 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

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

APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

 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

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

 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

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

APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

 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

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

 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

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Manchester

20. Liu, Liu. Essays in Asset Pricing.

Degree: 2017, University of Manchester

 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 (6th 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 (16th 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 (7th 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

 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

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APA (6th Edition):

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

  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

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

 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

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APA (6th 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 (16th 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 (7th 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

  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

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APA (6th Edition):

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Rice University

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

Degree: PhD, Engineering, 2017, Rice University

 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

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APA (6th 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 (16th 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 (7th 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

  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

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APA (6th 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 (16th 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 (7th 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

 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… 

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APA (6th 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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

 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

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APA (6th 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 (16th 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 (7th 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

 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

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APA (6th Edition):

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

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th 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.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th 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.

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

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

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

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

APA (6th 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 (16th 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 (7th 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

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