Leila Sakhtkar Modallal

[ 1 ] - Estimating Stock Price in Energy Market Including Oil, Gas, and Coal: The Comparison of Linear and Non-Linear Two-State Markov Regime Switching Models

A common method to study the dynamic behavior of macroeconomic variables is using linear time series models; however, they are unable to explain nonlinear behavior of the series. Given the dependency between stock market and derivatives, the behavior of the underlying asset price can be modeled using Markov switching process properties and the economic regime significance. In this paper, a two-...