Permanent and Transitory Components; Markov Regime Switching - Articles

Legacy of the Asian Currency Crisis: The Case of Korea (Articles)

Jangryoul Kim, Gieyoung Lim

Modern Economy Vol.3 No.8, December 31, 2012

DOI: 10.4236/me.2012.38118 4,272 Downloads 6,435 Views Citations
An Analysis of the Jonsei and Purchase Prices in the Korean Housing Market (Articles)

Gieyoung Lim

Modern Economy Vol.6 No.1, January 14, 2015

DOI: 10.4236/me.2015.61007 3,271 Downloads 4,497 Views Citations
Forecasting Volatility of Gold Price Using Markov Regime Switching and Trading Strategy (Articles)

Nop Sopipan, Pairote Sattayatham, Bhusana Premanode

Journal of Mathematical Finance Vol.2 No.1, February 28, 2012

DOI: 10.4236/jmf.2012.21014 10,313 Downloads 23,913 Views Citations
Optimal Generator Portfolio in Day-Ahead Market under Uncertain Carbon Tax Policy (Articles)

Shengyuan Chen, Ming Zhao

American Journal of Operations Research Vol.1 No.4, December 5, 2011

DOI: 10.4236/ajor.2011.14031 4,677 Downloads 8,508 Views Citations
Option Pricing and Hedging for Discrete Time Regime-Switching Models (Articles)

Bruno Rémillard, Alexandre Hocquard, Hugo Lamarre, Nicolas Papageorgiou

Modern Economy Vol.8 No.8, August 4, 2017

DOI: 10.4236/me.2017.88070 1,619 Downloads 3,616 Views Citations
This article belongs to the Special Issue on Econometrics
Is the Great Moderation Ending?——UK and US Evidence (Articles)

Giorgio Canarella, Wen-Shwo Fang, Stephen M. Miller, Stephen K. Pollard

Modern Economy Vol.1 No.1, June 7, 2010

DOI: 10.4236/me.2010.11002 4,942 Downloads 9,568 Views Citations
Bayesian Markov Regime-Switching Models for Cointegration (Articles)

Kai Cui, Wenshan Cui

Applied Mathematics Vol.3 No.12, December 14, 2012

DOI: 10.4236/am.2012.312259 7,578 Downloads 12,516 Views Citations
Identification and Estimation of Gaussian Affine Term Structure Models with Regime Switching (Articles)

Gang Wang

Journal of Mathematical Finance Vol.4 No.3, April 22, 2014

DOI: 10.4236/jmf.2014.43014 4,990 Downloads 7,355 Views Citations
Reduction of Cogging Torque in Permanent Magnet Flux-Switching Machines (Articles)

Yu Wang, Jianxin Shen, Zongxi Fang, Weizhong Fei

Journal of Electromagnetic Analysis and Applications Vol.1 No.1, March 12, 2009

DOI: 10.4236/jemaa.2009.11003 10,483 Downloads 19,829 Views Citations
The Stochastic Volatility Model, Regime Switching and Value-at-Risk (VaR) in International Equity Markets (Articles)

Ata Assaf

Journal of Mathematical Finance Vol.7 No.2, May 31, 2017

DOI: 10.4236/jmf.2017.72026 2,321 Downloads 6,095 Views Citations
Behavior Analysis of the Upper Cretaceous Aquifer Reservoir at the Athieme Outlet, in the Benin Portion of the Mono River Basin (Articles)

Raudace Tagnon Nakou, Chabi Noël Worou, Lauris Senou, François De Paule Codo

Open Journal of Modern Hydrology Vol.15 No.2, March 18, 2025

DOI: 10.4236/ojmh.2025.152009 112 Downloads 522 Views Citations
A Regime Switching Model for the Term Structure of Credit Risk Spreads (Articles)

Seungmook Choi, Michael D. Marcozzi

Journal of Mathematical Finance Vol.5 No.1, February 13, 2015

DOI: 10.4236/jmf.2015.51005 3,478 Downloads 5,463 Views Citations
The Present Value Model Revisited: An Application to the Italian Price-Rent Ratio (Articles)

Jan R. Kim, Gieyoung Lim

Modern Economy Vol.6 No.6, June 26, 2015

DOI: 10.4236/me.2015.66069 3,841 Downloads 5,151 Views Citations
Goal Achieving Probabilities of Mean-Variance Strategies in a Market with Regime-Switching Volatility (Articles)

René Ferland, François Watier

Applied Mathematics Vol.13 No.7, July 19, 2022

DOI: 10.4236/am.2022.137038 213 Downloads 884 Views Citations
Dependence Structure of the US Dollar Index and Crude Oil Prices: A Regime-Switching Copula Approach (Articles)

Yuankui Wang, Xiaoquan Ding

Journal of Mathematical Finance Vol.14 No.2, May 15, 2024

DOI: 10.4236/jmf.2024.142009 209 Downloads 1,559 Views Citations
European Call and Put Option Pricing in a Three-State Regime-Switching Economy (Articles)

James Evans, Andrzej Korzeniowski

Journal of Mathematical Finance Vol.15 No.4, November 27, 2025

DOI: 10.4236/jmf.2025.154034 135 Downloads 667 Views Citations
Dynamic Correlation between Implied Volatility Spreads and Movement of CSI 300 ETF: Regime Identification (Articles)

Han Yang, Yintao Hu, Zhijing Wang, Naixue Xiong, Rui Liang, Jerome Yen

Open Journal of Social Sciences Vol.14 No.3, March 31, 2026

DOI: 10.4236/jss.2026.143037 85 Downloads 534 Views Citations
Pricing and Hedging in Stochastic Volatility Regime Switching Models (Articles)

Stéphane Goutte

Journal of Mathematical Finance Vol.3 No.1, February 26, 2013

DOI: 10.4236/jmf.2013.31006 5,307 Downloads 9,676 Views Citations
Value Premium and Portfolio Return Regime: Evidence from European Equities (Articles)

Chikashi Tsuji

Modern Economy Vol.9 No.3, March 20, 2018

DOI: 10.4236/me.2018.93028 993 Downloads 2,177 Views Citations
VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models (Articles)

Alessandro Ramponi

Journal of Mathematical Finance Vol.3 No.1, February 28, 2013

DOI: 10.4236/jmf.2013.31009 5,917 Downloads 10,502 Views Citations

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