Now showing items 1-10 of 103
Mudanças de regimes na função de reação do Banco Central do Brasil: uma abordagem utilizando markov regime switching
The goal of this paper is to identify the occurrence, duration and transition probabilities of different monetary policy regimes in Brazil since the implementation of the inflation-targeting regime in 1999. To estimate the ...
Minimax Control Of Markov Jump Linear Systems
A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
(PERGAMON-ELSEVIER SCIENCE LTD, 2008)
In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the ...
Improving mutual fund market timing measures: a markov switching approach
Market timing performance of mutual funds is usually evaluated with linear models with dummy variables which allow for the beta coefficient of CAPM to vary across two regimes: bullish and bearish market excess returns. ...
Multi-period mean-variance portfolio optimization with markov switching parameters
(Sociedade Brasileira de Automática, 2008)
In this paper we deal with a multi-period mean-variance portfolio selection problem with the market parameters subject to Markov random regime switching. We analytically derive an optimal control policy for this mean-variance ...
A generic-traffic optical buffer modeling for asynchronous optical switching networks
(Ieee-inst Electrical Electronics Engineers IncPiscatawayEUA, 2005)
The Determinants of Relative Price Variability: further evidence from argentina
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2008)