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Publications by Dennis Philip

Optimal Hedging in Carbon Emission Markets Using Markov Regime Switching Models

Journal of International Financial Markets, Institutions and Money

English

Forward Guidance and Corporate Lending

SSRN Electronic Journal

English

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Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets

SSRN Electronic Journal

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Optimal Dividend Distribution Under Markov Regime Switching

Finance and Stochastics

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Time-Varying Transition Probabilities for Markov Regime Switching Models

Journal of Time Series Analysis

Applied Mathematics

English

Improving Markov Switching Models Using Realized Variance

Journal of Applied Econometrics

Social Sciences

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Pricing and Hedging Contingent Claims With Regime Switching Risk

Communications in Mathematical Sciences

Applied Mathematics

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Volatility Model Choice for Sub-Saharan Frontier Equity Markets - A Markov Regime Switching Bayesian Approach

EMAJ: Emerging Markets Journal

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Building Markov State Models Using Optimal Transport Theory

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Building Markov State Models Using Optimal Transport Theory

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Evaluating Currency Crises: A Multivariate Markov Regime Switching Approach*

Manchester School

English