A General and Efficient Method for Solving Regime-Switching DSGE Models

Derivative Pricing Models with Regime Switching: A General Approach

The purpose of this paper is to demonstrate a general method for incorporating a change in regime into stochastic price processes. The assumed framework is that there are two states of the world, a "volatile" state, and a "normal" state, and the stochastic process followed by asset prices is different depending on the state of the world. This is done using a two-state Markov chain in continuous...

Regime Switching Models for Markets

Search for structure in the financial markets has recently become an active field of research by scientists from different areas of expertise. The Efficient-Market Hypothesis states that the markets reflect all publically available information within their price. This also means that no profit higher than the average market returns allow can be gained using only the price information. However, ...

A new method for solving fuzzy DEA models

Regime Switching Garch Models

We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past information. We provide sufficient conditions for geometric ergodicity and existence of moments. Because of path dependence, maximum likelihood estimation is no...

Regime - Switching Models