Hidden Markov models in finance

DOI10.1007/0-387-71163-5MaRDI QIDQ883724zbMATH OpenOpenAlexFDO

Authors

Publication date 11 June 2007

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/0-387-71163-5

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cited in

(37)

• Efficient estimation of Markov regime-switching models: an application to electricity spot prices
• EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies
• Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index
• Markov chains with memory, tensor formulation, and the dynamics of power iteration
• Asymptotic analysis of model selection criteria for general hidden Markov models
• Multivariate time series analysis from a Bayesian machine learning perspective
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
• Posterior consistency for partially observed Markov models
• The Baum-Welch algorithm with limiting distribution constraints
• A regime switching model for temperature modeling and applications to weather derivatives pricing
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
• Controllable Markov jump processes. I: Optimum filtering based on complex observations
• Consistency of the maximum likelihood estimator in seasonal hidden Markov models
• Consistency of the maximum likelihood estimator for general hidden Markov models
• Sequential Monte Carlo sampling in hidden Markov models of nonlinear dynamical systems
• Finite Horizon Decision Timing with Partially Observable Poisson Processes
• Application of optimal filtering methods for on-line of queueing network states
• Hidden Markov models for financial optimization problems
• Conditionally heteroscedastic factorial HMMs for time series in finance
• Parameter estimation in a regime-switching model with non-normal noise
• Taming animal spirits: risk management with behavioural factors
• Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model
• On multinomial hidden Markov model for hierarchical manpower systems
• A dynamic analysis of stock markets using a hidden Markov model
• scientific article; zbMATH DE number 7128895 (Why is no real title available?)
• COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES
• Pricing and semimartingale representations of vulnerable contingent claims in regime-switching markets
• Comparison results for positive supermodular dependent Markov tree distributions
• Dependence modeling in general insurance using local Gaussian correlations and hidden Markov models
• Detection and evaluation of clusters within sequential data
• Variance-Reduced Stochastic Optimization for Efficient Inference of Hidden Markov Models
• MDP modeling for multi-stage stochastic programs
• Dam management in the era of climate change
• Information, no-arbitrage and completeness for asset price models with a change point
• Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models
• A high-order Markov-switching model for risk measurement
• Unsupervised segmentation of new semi-Markov chains hidden with long dependence noise

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