Semi-Markov regime switching interest rate models and minimal entropy measure

Julien Hunt; Pierre Devolder

doi:10.1016/j.physa.2011.04.036

Semi-Markov regime switching interest rate models and minimal entropy measure

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2011.04.036 ◽

2011 ◽

Vol 390 (21-22) ◽

pp. 3767-3781 ◽

Cited By ~ 10

Author(s):

Julien Hunt ◽

Pierre Devolder

Keyword(s):

Interest Rate ◽

Regime Switching ◽

Entropy Measure ◽

Interest Rate Models ◽

Markov Regime Switching

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Semi-Markov regime switching interest rate models under minimal entropy martingale measure

JOURNAL OF SHENZHEN UNIVERSITY SCIENCE AND ENGINEERING ◽

10.3724/sp.j.1249.2016.02154 ◽

2016 ◽

Vol 33 (2) ◽

pp. 154

Author(s):

Xiangdong Liu ◽

Xingrui Wang

Keyword(s):

Interest Rate ◽

Regime Switching ◽

Martingale Measure ◽

Interest Rate Models ◽

Markov Regime Switching ◽

Minimal Entropy Martingale Measure

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New measure selection for Hunt–Devolder semi-Markov regime switching interest rate models

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2014.04.011 ◽

2014 ◽

Vol 407 ◽

pp. 350-359 ◽

Cited By ~ 19

Author(s):

Vasile Preda ◽

Silvia Dedu ◽

Muhammad Sheraz

Keyword(s):

Interest Rate ◽

Regime Switching ◽

Interest Rate Models ◽

Markov Regime Switching ◽

Selection For

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Credibility of European Monetary System Interest Rate Policies: A Markov Regime-Switching Approach

Manchester School ◽

10.1111/j.1467-9957.2004.00377.x ◽

2004 ◽

Vol 72 (1) ◽

pp. 1-23 ◽

Cited By ~ 3

Author(s):

Philip Arestis ◽

Kostas Mouratidis

Keyword(s):

Interest Rate ◽

Regime Switching ◽

European Monetary System ◽

European Monetary ◽

Markov Regime Switching ◽

Monetary System

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Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling

AIMS Mathematics ◽

10.3934/math.2020020 ◽

2020 ◽

Vol 5 (1) ◽

pp. 300-310

Author(s):

Muhammad Sheraz ◽

◽

Vasile Preda ◽

Silvia Dedu ◽

◽

...

Keyword(s):

Interest Rate ◽

Regime Switching ◽

Martingale Measures ◽

Markov Regime Switching

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A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2020.1833221 ◽

2020 ◽

pp. 1-12

Author(s):

Jianping Lyu ◽

Yong Ma ◽

Wei Sun

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Stochastic Volatility ◽

Regime Switching ◽

Stochastic Interest Rate ◽

Pricing Model ◽

Markov Regime Switching ◽

Stochastic Interest ◽

Option Pricing Model

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Indonesian Financial Crisis Prediction Using Combined Volatility and Markov Regime Switching Model Based on Indicators of Real Interest Rate on Deposits and Lending Interest Rate/Deposit Interest Rate

Journal of Physics Conference Series ◽

10.1088/1742-6596/1373/1/012045 ◽

2019 ◽

Vol 1373 ◽

pp. 012045

Author(s):

Sugiyanto ◽

Aisyah Zahrotul Hidayah

Keyword(s):

Interest Rate ◽

Financial Crisis ◽

Regime Switching ◽

Real Interest Rate ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Model Based ◽

Markov Regime Switching Model

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Prediction of currency crisis in Indonesia using combined volatility and Markov regime switching models based on lending interest rate / deposit interest rate indicator

Journal of Physics Conference Series ◽

10.1088/1742-6596/1341/9/092012 ◽

2019 ◽

Vol 1341 ◽

pp. 092012

Author(s):

Sugiyanto ◽

E Zukhronah ◽

I Slamet

Keyword(s):

Interest Rate ◽

Regime Switching ◽

Currency Crisis ◽

Markov Regime Switching ◽

Regime Switching Models ◽

Switching Models

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Prediction of Indonesian financial crisis using Markov regime switching autoregressive conditional heteroscedasticity models based on bank deposits and lending/deposit interest rate indicators

Journal of Physics Conference Series ◽

10.1088/1742-6596/1563/1/012017 ◽

2020 ◽

Vol 1563 ◽

pp. 012017

Author(s):

A Maulana ◽

Sugiyanto ◽

I Slamet

Keyword(s):

Interest Rate ◽

Financial Crisis ◽

Regime Switching ◽

Conditional Heteroscedasticity ◽

Markov Regime Switching ◽

Bank Deposits ◽

Autoregressive Conditional Heteroscedasticity

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Vulnerable European Option Pricing in a Markov Regime-Switching Heston Model with Stochastic Interest Rate

SSRN Electronic Journal ◽

10.2139/ssrn.3934307 ◽

2021 ◽

Author(s):

Guohe deng ◽

Yurong Xie

Keyword(s):

Interest Rate ◽

Option Pricing ◽

Regime Switching ◽

Heston Model ◽

Stochastic Interest Rate ◽

European Option ◽

Markov Regime Switching ◽

European Option Pricing ◽

Stochastic Interest

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Credibility of Interest Rate Policies in Eight European Monetary System Countries: An Application of the Markov Regime-Switching of a Bivariate Autoregressive Model

Issues in Finance and Monetary Policy ◽

10.1057/9780230801493_6 ◽

2007 ◽

pp. 100-127

Author(s):

Philip Arestis ◽

Kostas Mouratidis

Keyword(s):

Interest Rate ◽

Regime Switching ◽

Autoregressive Model ◽

European Monetary System ◽

European Monetary ◽

Markov Regime Switching ◽

Monetary System

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