VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS

DOI10.1017/S0269964820000236MaRDI QIDQ5051948zbMATH OpenOpenAlexFDO

Authors

Publication date 18 November 2022

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964820000236

zbMATH Keywords

Markov chainsregime-switching modelvolatility analysis

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A recursive algorithm for selling at the ultimate maximum in regime-switching models
• Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 5172394 (Why is no real title available?)
• Occupation times for two state Markov chains
• Passage-time generating functions for continuous-time finite Markov chains
• Perturbation analysis of inhomogeneous finite Markov chains
• Stock trading: an optimal selling rule
• Understanding Markov Chains

Cited in

(10)

• Dynamics of a mean-reverting stochastic volatility equation with regime switching
• Specification analysis in regime-switching continuous-time diffusion models for market volatility
• Dynamic behavior of volatility in a nonstationary generalized regime-switching GARCH model
• Parameter estimation in a regime-switching model when the drift and volatility are independent
• Forecasting Stock Market Volatility with Regime-Switching GARCH Models
• Estimating a regime switching pairs trading model
• Volatility Risk For Regime-Switching Models
• Accounting for regime and parameter uncertainty in regime-switching models
• Optimal refinancing strategy for mortgage rate with regime switching
• Regime switching volatility calibration by the Baum-Welch method

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