Keywords: تعویض رژیم; Functional operator; Elasticity approach; Portfolio optimization; Regime switching; Dynamic programming principle
مقالات ISI تعویض رژیم (ترجمه نشده)
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Keywords: تعویض رژیم; C61; E32; E44; G11; G22; Economic analysis; Hamilton-Jacobi-Bellman equation; Insurance; Regime switching; Utility maximization;
Keywords: تعویض رژیم; Pension fund; Impulse control; Regime switching; Transaction costs; Liquidity risk
Keywords: تعویض رژیم; Time series; Forecasting; Wind power; Markov chain; Regime switching;
Keywords: تعویض رژیم; 60G40; 60J27; 60J60; Regime switching; Markov switching; First-passage time; First-exit time; Wiener-Hopf factorization; Option pricing;
Keywords: تعویض رژیم; Dynamic programming; Hedging; Risk management; Regime switching
Keywords: تعویض رژیم; Hamiltonian–Jacobi–Bellman equation; Non-zero-sum stochastic differential game; Equilibrium investment; Equilibrium proportional reinsurance; Regime switching; Relative performance; Cramer–Lundberg model; Nash equilibrium; Stochastic control
Keywords: تعویض رژیم; Intensity-based model; Regime switching; Markov chain; Credit default swaps; Bilateral counterparty risk
Keywords: تعویض رژیم; Structural change; State space model; Regime switching; Long-memory
Keywords: تعویض رژیم; Time-varying parameters; Regime switching; Vector autoregressions; Forecast comparison;
Keywords: تعویض رژیم; G11; G01; C32Safe haven assets; Financial market crises; Shock transmission; Regime switching
Keywords: تعویض رژیم; G22; Optimal control; GLWB pricing; PDE approach; Regime switching; No-arbitrage; Withdrawal strategies;
Keywords: تعویض رژیم; C32; C51; G1; G0; Multivariate GARCH; Dynamic correlations; Regime switching; Hidden Markov Decision Tree;
Keywords: تعویض رژیم; Longevity bond; Stochastic interest rate; Stochastic mortality; Regime switching; Stochastic flows; Exponential affine form;
Keywords: تعویض رژیم; Oil price shock; Stock return; Jump process; Regime switching; C22; C52; G12; Q43;
Keywords: تعویض رژیم; G12; C23; M41; Earnings persistence effect; Panel smooth transition regression model; Regime switching; Lagged cash flows; Lagged (un)systematic earnings;
Keywords: تعویض رژیم; Stock market returns; Volatility; Long memory model; Regime switching;
Keywords: تعویض رژیم; Energy futures; Electricity; Forward premium; VAR; Regime switching; C53; G14; L94;
Keywords: تعویض رژیم; Stochastic differential game; Reinsurance strategy; Regime switching; Markov chain approximation;
Keywords: تعویض رژیم; G15; G12; Sovereign bonds; Sovereign spreads; Sovereign credit cycle; Structural models of credit risk; Regime switching; Sovereign debt crises;
Keywords: تعویض رژیم; C01; C024; C29; C58; G01; G15; Crude oil price volatility; GCC economy; Nonlinear relationship; Stock market; Regime switching;
Keywords: تعویض رژیم; G13; Credit spread; GARCH; Skewness; Kurtosis; Regime switching; VaR;
Keywords: تعویض رژیم; C22; C53; G11; G12; Stock returns; Predictability; Regime switching; Uncertainty; Time-varying predictability;
Keywords: تعویض رژیم; Portfolio selection; Regime switching; Shorting prohibition; Mean–variance
Keywords: تعویض رژیم; debt; regime switching; STAR
Keywords: تعویض رژیم; Bubbles; Regime switching; Collapse
Keywords: تعویض رژیم; C 32; G11; G15Cross sectional dispersion; Market stress; Herding; REITs; Regime switching
The effects of the U.S. business cycle on the Canadian economy: A regime-switching VAR approach
Keywords: تعویض رژیم; Business cycles; Vector autoregession; Regime switching; E30; F40;
Solving complex PIDE systems for pricing American option under multi-state regime switching jump-diffusion model
Keywords: تعویض رژیم; Partial integral differential equations; L-stable methods; American options; Regime switching; Jump-diffusion;
Interest rate pass through in a Markov-switching Vector Autoregression model: Evidence from Greek retail bank interest rates
Keywords: تعویض رژیم; Vector Autoregression; Regime switching; Retail rates; Interest rate pass-through; E42; E43;
Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
Keywords: تعویض رژیم; DC pension plan; Pre-commitment strategy; Equilibrium strategy; Regime switching; Return of premiums clause;
Cliquet-style return guarantees in a regime switching Lévy model
Keywords: تعویض رژیم; G13; G22; Insurance contracts; Cliquet-style guarantee; Ratchet-type guarantee; Annual guarantee; Regime switching; Lévy model; Fourier pricing;
Feynman-Kac theorem in random environments and partial integro-differential equations
Keywords: تعویض رژیم; Feynman-Kac theorem; PIDE; Random environment; Regime switching; Exponential Lévy model;
Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model
Keywords: تعویض رژیم; C32; C58; E32; Q41; Q47; Crude oil; Volatility; Regime switching; Mixed-frequency data sampling; Forecasting;
A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
Keywords: تعویض رژیم; American options; Barrier options; Stochastic volatility; Regime switching; Jump diffusion; Frame projection; 91G80; 93E11; 93E20;
Asymmetric evidence of gasoline price responses in France: A Markov-switching approach
Keywords: تعویض رژیم; Regime switching; Asymmetry; Gasoline;
Gaussian mixture vector autoregression
Keywords: تعویض رژیم; C32; Mixture models; Nonlinear vector autoregressive models; Regime switching;
Second-order lattice Boltzmann methods for PDEs of Asian option pricing with regime switching
Keywords: تعویض رژیم; Asian option pricing; Regime switching; Lattice Boltzmann methods; Convergence rates and stability; Chapman–Enskog multi-scale expansion
AnalysisModeling adaptation in multi-state resource systems
Keywords: تعویض رژیم; Adaptation; Bioeconomic model; Resilience; Natural resources; Regime switching;
Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model
Keywords: تعویض رژیم; ARFIMA; Autoregressive Fractionally Integrated Moving Average; MRS; Markov Regime-Switching; ACFs; autocorrelation functions; FTSE; London Stock Exchange; DGP; data generation process; QMLE; Quasi Maximum Likelihood Estimation; RMSE; mean square error; TR
New criteria on persistence in mean and extinction for stochastic competitive Lotka–Volterra systems with regime switching
Keywords: تعویض رژیم; Persistence in mean; Extinction; Partial permanence and partial extinction; Stochastic competitive Lotka–Volterra systems; Regime switching
New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models
Keywords: تعویض رژیم; Binomial option pricing; Semi-Markov process; Regime switching; Martingale measure; Tsallis entropy; Kaniadakis entropy;
Multi-period Markowitz's mean-variance portfolio selection with state-dependent exit probability
Keywords: تعویض رژیم; Multi-period mean-variance model; Regime switching; Uncertain time-horizon; Portfolio selection; Dynamic programming;
Hedging crude oil using refined product: A regime switching asymmetric DCC approach
Keywords: تعویض رژیم; Crude oil; Regime switching; Asymmetry; Hedging; C22; C32; G17; G32;
Information, no-arbitrage and completeness for asset price models with a change point
Keywords: تعویض رژیم; 60G40; 60G44; 91B25; 91B70; 91G10; Enlargement of filtration; Martingale representation; Random time; Change point; Regime switching; Arbitrage of the first kind; Free lunch with vanishing risk;
Singular optimal dividend control for the regime-switching Cramér–Lundberg model with credit and debit interest
Keywords: تعویض رژیم; Band strategy; Compound Poisson process; Cramér–Lundberg model; Dividend optimization; Regime switching; Singular control
Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model
Keywords: تعویض رژیم; C22; C32; E52; R31; Monetary policy; House prices; Regime switching;
Markowitz's mean-variance asset-liability management with regime switching: A time-consistent approach
Keywords: تعویض رژیم; Asset-liability management; Mean-variance; Regime switching; Time consistent feedback control; Extended Hamilton-Jacobi-Bellman;
Constant proportion portfolio insurance under a regime switching exponential Lévy process
Keywords: تعویض رژیم; G11; 91B28; 62P05; 60J75; Constant proportion portfolio insurance; Regime switching; Exponential Lévy process; Shortfall; Gap risk; Matrix exponential;
A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives
Keywords: تعویض رژیم; Thinning-dependence structure; Regime switching; Jump-diffusion model; Joint conditional survival probability; Portfolio credit derivatives