Abstract Renewable Energy Power Purchase Agreements (RE PPAs) are considered to be a
key tool in order to foster RE deployment, as they allow for the reduction of uncertainty for all …

We develop and implement a method for maximum likelihood estimation of a regime-
switching stochastic volatility model. Our model uses a continuous time stochastic process …

This paper investigates the response of CO 2 emissions to the business cycle for the US on
a monthly basis between 1973 and 2015. Using a rolling-regression approach, we find that …

It has been documented that retail gasoline prices respond more quickly to increases in
wholesale prices than they do to decreases in wholesale prices. However, there is little …

In this paper we discuss the calibration issues of regime switching models built on mean-
reverting and local volatility processes combined with two Markov regime switching …

We consider general regime switching stochastic volatility models where both the asset and
the volatility dynamics depend on the values of a Markov jump process. Due to the …

This article explores seven international stock markets (DJIA, Euro STOXX 600, Russell
2000, Nikkei, NASDAQ, FTSE and Global Dow) in the quest for jumps and regime switches …

The establishment of a currency union is a topical issue in the West African Monetary Zone
(WAMZ). The subject of currency union formation needs to be reassessed in light of the …

We examine model specification in regime-switching continuous-time diffusions for
modeling S&P 500 Volatility Index (VIX). Our investigation is carried out under two nonlinear …

To price exotic foreign exchange (FX) options, a model needs to be selected for FX spot rate
dynamics. The classic approach of modelling spot rates with Black–Scholes framework …