Specification analysis in regime-switching continuous-time diffusion models for market volatility

References

Ahn, D. H., and B. Gao. 1999. “A Parametric Non-linear Model of Term Structure Dynamics.” Review of Financial Studies 12: 721–762.10.1093/rfs/12.4.721Suche in Google Scholar

Aït-Sahalia, Y. 1996. “Testing Continuous-Time Models of the Spot Interest Rate.” Review of Financial Studies 9: 385–426.10.3386/w5346Suche in Google Scholar

Aït-Sahalia, Y. 1999. “Transition Densities for Interest Rate and Other Nonlinear Diffusions.” Journal of Finance 54: 1361–1395.10.1111/0022-1082.00149Suche in Google Scholar

Aït-Sahalia, Y. 2002. “Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach.” Econometrica 70 (1): 223–262.10.1111/1468-0262.00274Suche in Google Scholar

Bai, J., and P. Perron. 1998. “Estimating and Testing Linear Models with Multiple Structural Changes.” Econometrica 66: 47–68.10.2307/2998540Suche in Google Scholar

Bandi, F. M., and P. C. B. Phillips. 2003. “Fully Nonparametric Estimation of Scalar Diffusion Models.” Econometrica 71 (1): 241–283.10.1111/1468-0262.00395Suche in Google Scholar

Black, F., and M. Scholes. 1973. “The Pricing of Options and Corporate Liabilities.” Journal of Political Economy 81: 637–654.10.1142/9789814759588_0001Suche in Google Scholar

Bu, R., L. Giet, K. Hadri, and M. Lubrano. 2011. “Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations.” Journal of Financial Econometrics 9 (1): 198–236.10.1093/jjfinec/nbq022Suche in Google Scholar

Bu, R., J. Cheng, and K. Hadri. 2016. “Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates.” Economic Modelling 52: 266–277.10.1016/j.econmod.2014.10.039Suche in Google Scholar

Cai, J. 1994. “A Markov Model of Switching-Regime ARCH.” Journal of Business and Economic Statistics 12 (3): 309–316.Suche in Google Scholar

Chan, K. C., A. Karolyi, F. Longstaff, and A. Sanders. 1992. “An Empirical Comparison of Alternative Models of the Short-Term Interest Rate.” Journal of Finance 47: 1209–1227.10.1111/j.1540-6261.1992.tb04011.xSuche in Google Scholar

Chang, Y., Y. Choi, and J. Park. 2015. “Regime Switching Model with Endogenous Autoregressive Latent Factor.” Working Paper.Suche in Google Scholar

Chen, J. H., and Y. F. Huang. 2014. “Long Memory and Structural Breaks in Modelling the Volatility Dynamics of VIX-ETFS.” International Journal of Business, Economics and Law 4 (1): 54–63.Suche in Google Scholar

Chevallier, J., and S. Goutte. 2015. “Detecting Jumps and Regime Switches in International Stock Markets Returns.” Applied Economics Letters 22 (13): 1011–1019.10.1080/13504851.2014.995356Suche in Google Scholar

Choi, S. 2009. “Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate.” Studies in Nonlinear Dynamics and Econometrics 13 (1): Article 4.10.2202/1558-3708.1614Suche in Google Scholar

Conley, T. L., L. Hansen, E. Luttmer, and J. Scheinkman. 1997. “Short Term Interest Rates as Subordinated Diffusion.” Review of Financial Studies 10: 525–578.10.1093/rfs/10.3.525Suche in Google Scholar

Cox, J., J. Ingersoll, and S. Ross. 1985. “In Intertemporal General Equilibrium Model of Asset Prices.” Econometrica 53: 363–384.10.2307/1911241Suche in Google Scholar

Diebold, F., J. Lee, and G. Weinbach. 1994. “Regime Switching with Time-Varying Transition Probabilities.” In Nonstationary Time Series Analysis and Cointegration, edited by C. Hargreaves, 283–302. Oxford University Press.Suche in Google Scholar

Duffee, D., and R. Kan. 1996. “A Yield Factor Model of Interest Rates.” Mathematical Finance 6 (4): 379–406.10.1111/j.1467-9965.1996.tb00123.xSuche in Google Scholar

Durham, G. 2003. “Likelihood-Based Specification Analysis of Continuous-Time Models of the Short-Term Interest Rate.” Journal of Financial Economics 70: 463–487.10.1016/S0304-405X(03)00207-1Suche in Google Scholar

Durham, G., and R. Gallant. 2002. “Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes.” Journal of Business and Economic Statistics 20 (3): 297–338.10.1198/073500102288618397Suche in Google Scholar

Gallant, A. R., and G. Tauchen. 1998. “Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions.” Journal of the American Statistical Association 93 (441): 10–24.10.1080/01621459.1998.10474083Suche in Google Scholar

Garcia, R., and P. Perron. 1996. “An Analysis of the Real Interest Rate under Regime Shifts.” Review of Economics and Statistics 78 (1): 111–125.10.2307/2109851Suche in Google Scholar

Gray, S. F. 1996. “Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process.” Journal of Financial Economics 42: 27–62.10.1016/0304-405X(96)00875-6Suche in Google Scholar

Goutte, S., and B. Zou, 2013. “Continuous Time Regime Switching Model Applied to Foreign Exchange Rate.” Mathematical. Finance Letters 2013: 8.Suche in Google Scholar

Guo, W., and M. E. Wohar. 2006. “Identifying Regime Changes in Market Volatility.” Journal of Financial Research 29 (1): 79–93.10.1111/j.1475-6803.2006.00167.xSuche in Google Scholar

Hamilton, J. 1988. “Rational-Expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates.” Journal of Economic Dynamics and Control 12: 385–423.10.1016/0165-1889(88)90047-4Suche in Google Scholar

Hamilton, J. 1989. “A New Approach to Economic Analysis of Nonstationary Time Series.” Econometrica 57: 357–384.10.2307/1912559Suche in Google Scholar

Hamilton, J., and R. Susmel. 1994. “Autoregressive Conditional Heteroskedasticity and Changes in Regime.” Journal of Econometrics 64: 307–333.10.1016/0304-4076(94)90067-1Suche in Google Scholar

Hsiao, C., and W. Semmler. 2011. “Continuous and Discrete Time Modeling of Short-Term Interest Rates.” In Financial Econometrics Modeling: Derivatives Pricing, edited by G. Gregoriou, and R. Pascalau, 163–187. Palgrave: Hedge Funds and Term Structure Models.10.1057/9780230295209_9Suche in Google Scholar

Kim, C. J., J. Piger, and R. Startz. 2008. “Estimation of Markov Regime-Switching Regression Models with Endogenous Switching.” Journal of Econometrics 143: 263–273.10.20955/wp.2003.015Suche in Google Scholar

Kullback, S., and R. A. Leibler. 1951. “On Information and Sufficiency.” Annals of Mathematical Statistics 22 (1): 79–86.10.1214/aoms/1177729694Suche in Google Scholar

Marcellino, M., and B. Rossi, 2008. “Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis-specified Models.” Oxford Bulletin of Economics and Statistics 70 (1): 867–893.10.1111/j.1468-0084.2008.00534.xSuche in Google Scholar

Mencia, J., and E. Sentana. 2013. “Valuation of VIX Derivatives.” Journal of Financial Economics 108 (2): 367–391.10.1016/j.jfineco.2012.12.003Suche in Google Scholar

Merton, R. C. 1973. “Theory of Rational Option Pricing.” Bell Journal of Economics and Management Science 4: 141–183.10.2307/3003143Suche in Google Scholar

Rivers, D., and Q. Vuong. 2002. “Model Selection Tests for Nonlinear Dynamic Models.” Econometrics Journal 5: 1–39.10.1111/1368-423X.t01-1-00071Suche in Google Scholar

Song, Z., and D. Xiu. 2016. “A Tale of Two Option Markets: Pricing Kernels and Volatility Risk.” Journal of Econometrics 190: 176–196.10.1016/j.jeconom.2015.06.024Suche in Google Scholar

Vasicek, O. 1977. “An Equilibrium Characterization of the Term Structure.” Journal of Financial Economics 5: 177–188.10.1002/9781119186229.ch6Suche in Google Scholar

Vuong, Q. 1989. “Likelihood Ratio Tests for Model Selection and Nonnested Hypotheses.” Econometrica 57: 307–333.10.2307/1912557Suche in Google Scholar

Whaley, R. E. 2000. “The Investor Fear Gauge.” Journal of Portfolio Management 26 (3): 12–17.10.3905/jpm.2000.319728Suche in Google Scholar