A Regime-Switching Model of Long-Term Stock Returns
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A new look at the statistical model identification
- A synthesis of risk measures for capital adequacy
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive conditional heteroskedasticity and changes in regime
- Estimating the dimension of a model
- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
Cited in
(only showing first 100 items - show all)- Small-time ruin for a financial process modulated by a Harris recurrent Markov chain
- Moment matching machine learning methods for risk management of large variable annuity portfolios
- Testing for the number of states in hidden Markov models
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
- Multiperiod Telser's safety-first portfolio selection with regime switching
- Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- HMM based scenario generation for an investment optimisation problem
- An optimal stochastic control framework for determining the cost of hedging of variable annuities
- Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
- A local radial basis function method for pricing options under the regime switching model
- A switching self-exciting jump diffusion process for stock prices
- Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
- A new efficient numerical method for solving American option under regime switching model
- Risk models with dependence between claim occurrences and severities for Atlantic hurricanes
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Option pricing in regime-switching frameworks with the extended Girsanov principle
- Computation of powered option prices under a general model for underlying asset dynamics
- Learning hidden Markov models with unknown number of states
- Optimal feedback control of stock prices under credit risk dynamics
- Valuation of annuity guarantees under a self-exciting switching jump model
- Sample recycling method -- a new approach to efficient nested Monte Carlo simulations
- A semi-analytic valuation of American options under a two-state regime-switching economy
- Downside risk measurement in regime switching stochastic volatility
- Free boundaries of credit rating migration in switching macro regions
- Exact long time behavior of some regime switching stochastic processes
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Regime switching model estimation: spectral clustering hidden Markov model
- Pricing dynamic fund protection under a regime-switching jump-diffusion model with stochastic protection level
- Regime-switching shot-noise processes and longevity bond pricing
- A contagion model with Markov regime-switching intensities
- Sum of Bernoulli mixtures: beyond conditional independence
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
- Fast and efficient nested simulation for large variable annuity portfolios: a surrogate modeling approach
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- Pricing annuity guarantees under a double regime-switching model
- Valuation of large variable annuity portfolios under nested simulation: a functional data approach
- Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- Option pricing under regime-switching models: novel approaches removing path-dependence
- Multi-period portfolio optimization in a defined contribution pension plan during the decumulation phase
- Constant proportion portfolio insurance under a regime switching exponential Lévy process
- A multivariate aggregate loss model
- Analytical calculation of risk measures for variable annuity guaranteed benefits
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Adaptive signal processing of asset price dynamics with predictability analysis
- On the joint distribution of surplus before and after ruin under a Markovian regime switching model
- Optimal hedging when the underlying asset follows a regime-switching Markov process
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Two-stage nested simulation of tail risk measurement: a likelihood ratio approach
- Pricing American options under multi-state regime switching with an efficient \(L\)-stable method
- A tree approach to options pricing under regime-switching jump diffusion models
- Markov regime-switching quantile regression models and financial contagion detection
- A stochastic semidefinite programming approach for bounds on option pricing under regime switching
- On finite-time ruin probabilities with reinsurance cycles influenced by large claims
- A multivariate regime-switching mean reverting process and its application to the valuation of credit risk
- Valuation of equity-linked life insurance contracts with surrender guarantees in a regime-switching rational expectation model
- Good-deal bounds in a regime-switching diffusion market
- A reduced-form model for correlated defaults with regime-switching shot noise intensities
- Variational Bayes for regime-switching log-normal models
- Impulse control of pension fund contributions, in a regime switching economy
- Mixture Gaussian time series modeling of long-term market returns
- Conditional Tail Moments of the Exponential Family and Its Related Distributions
- Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
- A moment approach to bounding exotic options under regime switching
- Bounds of ruin probability for regime-switching models using time scale separation
- Pricing Equity-indexed Annuities When Discrete Dividends Follow a Markov-Modulated Jump Diffusion Model
- Regime-switching recombining tree for option pricing
- NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
- Conditional means and variances based on regime-switching models -- generalization from two-state to N-state
- Bayesian Risk Management for Equity-Linked Insurance
- Dynamic asset-liability management in a Markov market with stochastic cash flows
- Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
- Hedging costs for variable annuities under regime-switching
- Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility
- LOCAL HEDGING OF VARIABLE ANNUITIES IN THE PRESENCE OF BASIS RISK
- Valuing equity-linked death benefits in a regime-switching framework
- A lattice-based model to evaluate variable annuities with guaranteed minimum withdrawal benefits under a regime-switching model
- Mortality regimes and longevity risk in a life annuity portfolio
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- Updating Wilkie's economic scenario generator for U.S. applications
- Regime-switching pure jump processes and applications in the valuation of mortality-linked products
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
- Asset Allocation with Regime-Switching: Discrete-Time Case
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
- Bilateral counterparty risk valuation on a CDS with a common shock model
- Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option
- Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model
- Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing
- Non-parametric estimation of conditional tail expectation for long-horizon returns
- Equal risk pricing of derivatives with deep hedging
- Validation of long-term equity return models for equity-linked guarantees
- On complex economic scenario generators: is less more?
- Asset allocation with hedge funds on the menu
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