Hey,Does any one know the paper this model is based on?Also could I please get a copy of this model to epon83@yahoo.comThanks

Hey,Does any one know the paper this model is based on?Also could I please get a copy of this model to epon83@yahoo.comThanks

Hi All,The below code is to price expected max loss using a pentanomial lattice..to account for regime changes.However there is an error somewhere in the code so it just returns zero.... any suggestions would be greatly appreciated.

<t>Hi All,I have written the following code to caclulate the maximum loss of a long asset position in a regime switching environment.Its almost there but i can not get it to work correctly. I am desperate for help as this is part of my thesis which is to be submitted on thursday!Any help would be re...

Classes at kings 5-7 , twice a week for part timers. Not sure about cass. King's seems to have a good rep.

<t>Hey, Could any one please tell me how to derive the following equation.The paper says the folllowing, the inference of the predominant regime is based only on calculated state probabilities. In the ma jority of cases a two-state, first-order Markov-switching process for st is considered with the f...

Hey,Does any one know where I code find code (preferably mathematica) to do iterated cumulative sum of squares?I am trying to detect break points in historic volatility.Thanks

<t>Hey Guys ,Thanks for your help.I have settled on using the iterated cumulative sum of squares method. (inclan and tiao 1994)Does anyone know where i could find source code (preferably vba,i'm not much of a programmer ) for this or any other regime switch detection?Or is there stats package that w...

<t>Hi All,Does any one know of how to find out what are the distributions of possible regimes given historic data.I think the problem is easier if you have a set number of regimes and assume they are normal. I am interested in the case where there are 2 regimes.I i want to find 2 distribuitions give...

http://www.iijournals.com/doi/abs/10.39 ... 998.408011

Hi All,I have read alot of papers recently that look at regime switching.I was wondering is there any way to define high versus low volatility.How do these papers decide on the regimes?Thanks

Given you have an autoregressive model that has 2 separate regimes.Is there any way to find the expected number of observations that will be in a certain regime?Any ideas or suggested reading material would be really appreciated.Thanks

<t>Hi All,If you assume that payoffs of a trades are normal you can get a closed form solution to the Expected Maximum loss of a number of trades.See Maximum Loss and Maximum Drawdown in Financial Markets , Emmanuel Acar and D Prieul.However if your looking at trading model, you do not know how many...