Pages that link to "Item:Q4203680"
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The following pages link to A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (Q4203680):
Displaying 50 items.
- The minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model (Q431920) (← links)
- Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles (Q433696) (← links)
- Identifying bull and bear markets in Japan (Q436949) (← links)
- Filtering a nonlinear stochastic volatility model (Q437251) (← links)
- A review of copula models for economic time series (Q443763) (← links)
- Infinite horizon \(H_{2}/H_{\infty }\) control for discrete-time time-varying Markov jump systems with multiplicative noise (Q445990) (← links)
- Structure of a double autoregressive process driven by a hidden Markov chain (Q449432) (← links)
- Efficient likelihood estimation in state space models (Q449965) (← links)
- Properties of optimal forecasts under asymmetric loss and nonlinearity (Q451286) (← links)
- Parallel sequential Monte Carlo samplers and estimation of the number of states in a hidden Markov model (Q457266) (← links)
- A regime-switching model with the volatility smile for two-asset European options (Q462338) (← links)
- Beta-product dependent Pitman-Yor processes for Bayesian inference (Q469570) (← links)
- Strategic asset allocation with switching dependence (Q470426) (← links)
- Level changes in volatility models (Q470520) (← links)
- An evolutionary CAPM under heterogeneous beliefs (Q470657) (← links)
- Pricing and managing risks of European-style options in a Markovian regime-switching binomial model (Q470671) (← links)
- Asset pricing and the role of macroeconomic volatility (Q470727) (← links)
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process (Q470735) (← links)
- Stability analysis for stochastic hybrid systems: a survey (Q472550) (← links)
- A location-mixture autoregressive model for online forecasting of lung tumor motion (Q483986) (← links)
- Mortality modelling with regime-switching for the valuation of a guaranteed annuity option (Q492634) (← links)
- Explicit form of approximate transition probability density functions of diffusion processes (Q494367) (← links)
- Change-point model selection via AIC (Q498057) (← links)
- Optimal buying at the global minimum in a regime switching model (Q502365) (← links)
- Cliquet-style return guarantees in a regime switching Lévy model (Q506080) (← links)
- Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach (Q507996) (← links)
- Markov-switching generalized additive models (Q517407) (← links)
- Stochastic volatility with regime switching and uncertain noise: filtering with sub-linear expectations (Q523969) (← links)
- On some properties of Markov chain Monte Carlo simulation methods based on the particle filter (Q528088) (← links)
- Confronting model misspecification in macroeconomics (Q528093) (← links)
- A trend-following strategy: conditions for optimality (Q534275) (← links)
- The regime switching portfolios (Q538326) (← links)
- Log mean-variance portfolio selection under regime switching (Q538328) (← links)
- Mixture dynamics and regime switching diffusions with application to option pricing (Q539521) (← links)
- Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation (Q543456) (← links)
- The spectral representation of Markov switching ARMA models (Q553863) (← links)
- Equilibria in financial markets with heterogeneous agents: a probabilistic perspective (Q556406) (← links)
- Stock loan valuation under a regime-switching model with mean-reverting and finite maturity (Q601072) (← links)
- Robust hidden Markov LQG problems (Q602973) (← links)
- Using state-space model with regime switching to represent the dynamics of facial electromyography (EMG) data (Q615678) (← links)
- Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation (Q629561) (← links)
- Hidden heterogeneity in manpower systems: a Markov-switching model approach (Q631108) (← links)
- Dynamic portfolio choice under ambiguity and regime switching mean returns (Q631261) (← links)
- On pricing and hedging options in regime-switching models with feedback effect (Q633323) (← links)
- Utility-based indifference pricing in regime-switching models (Q640157) (← links)
- A confidence interval test for the detection of structural breaks (Q647992) (← links)
- Seven things to remember about hidden Markov models: A tutorial on Markovian models for time series (Q654387) (← links)
- Accounting for regime and parameter uncertainty in regime-switching models (Q654823) (← links)
- Regime-switching risk: to price or not to price? (Q655231) (← links)
- A long memory model with normal mixture GARCH (Q656952) (← links)
