Paper Publications

Journal:Probability in the Engineering and Informational Sciences

Funded by:https://www.cambridge.org/core/journals/probability-in-the-engineering-and-informational-sciences/ar

Key Words:Markov chains ; Markov chains ;volatility analysis

Abstract:This paper investigates the volatility in regime-switching models formulated based on the geometric Brownian motion with its drift and volatility factors randomized with Markov chains. By developing explicit formulas about occupation time of Markov chains, we analysis the difference between global volatility of this model and the volatility caused by Brownian randomness, in order to measure the volatility caused by regime-switching after justifying its existence. Utilizing this structure of volatility, we optimize the methods of volatility parameters estimation.

Note:Liu, Y., Xie, Z., Yao, J., & Li, K. (2020). VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS. Probability in the Engineering and Informational Sciences, 1-14. doi:10.1017/S0269964820000236

Indexed by:SCI

Discipline:Management Science

First-Level Discipline:Science of Business Administration

Document Type:Journal Paper

Translation or Not:no

Included Journals:SCI

Publication links:https://www.cambridge.org/core/journals/probability-in-the-engineering-and-informational-sciences/article/volatility-analysis-of-regimeswitching-models/A5C6FB8CB45E8B79B418AF3F619EF238?__cf_chl_jschl_