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Affiliation
ISSN
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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
1,878
Downloads
4,472
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
82
Downloads
432
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
4,348
Downloads
7,820
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
3,014
Downloads
3,881
Views
Citations
Regime-Switching Model on Hourly Electricity Spot Price Dynamics
(Articles)
Samuel Asante Gyamerah
,
Philip Ngare
Journal of Mathematical Finance
Vol.8 No.1
,February 7, 2018
DOI:
10.4236/jmf.2018.81008
869
Downloads
1,879
Views
Citations
Maximum Quasi-likelihood Estimation in Fractional Levy Stochastic Volatility Model
(Articles)
Jaya Prakasah Narayan Bishwal
Journal of Mathematical Finance
Vol.1 No.3
,November 8, 2011
DOI:
10.4236/jmf.2011.13008
5,364
Downloads
10,085
Views
Citations
The Markovian Regime-Switching Risk Model with Constant Dividend Barrier under Absolute Ruin
(Articles)
Wenguang Yu
,
Yujuan Huang
Journal of Mathematical Finance
Vol.1 No.3
,November 8, 2011
DOI:
10.4236/jmf.2011.13011
4,329
Downloads
8,340
Views
Citations
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
4,544
Downloads
8,883
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
7,128
Downloads
11,374
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
4,704
Downloads
6,631
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
9,463
Downloads
22,723
Views
Citations
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
3,980
Downloads
5,660
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
3,226
Downloads
4,680
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
3,562
Downloads
4,546
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
5,619
Downloads
9,823
Views
Citations
Dynamics of Entrepreneurship under Regime Switching
(Articles)
Sha Sun
,
Jinqiang Yang
,
Minghui Li
Journal of Mathematical Finance
Vol.3 No.3
,August 15, 2013
DOI:
10.4236/jmf.2013.33038
3,875
Downloads
6,132
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
1,357
Downloads
2,598
Views
Citations
This article belongs to the Special Issue on
Econometrics
Multi-Period Mean-Variance Portfolio Selection with State-Dependent Exit Probability and Bankruptcy State
(Articles)
Yang Wang
,
Yonghong Wu
,
Xinguang Zhang
Journal of Mathematical Finance
Vol.9 No.2
,May 10, 2019
DOI:
10.4236/jmf.2019.92008
700
Downloads
1,593
Views
Citations
Model Averaging by Stacking
(Articles)
Claudio Morana
Open Journal of Statistics
Vol.5 No.7
,December 30, 2015
DOI:
10.4236/ojs.2015.57079
5,150
Downloads
6,308
Views
Citations
This article belongs to the Special Issue on
Multivariate Statistical Analysis
Towards Automatic Transformation from UML Model to FSM Model for Web Applications
(Articles)
Xi Wang
,
Huaikou Miao
,
Liang Guo
Journal of Software Engineering and Applications
Vol.1 No.1
,December 9, 2008
DOI:
10.4236/jsea.2008.11010
6,003
Downloads
11,188
Views
Citations
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