scientific article; zbMATH DE number 1944302

MaRDI QIDQ4407595zbMATH OpenFDO

Authors Dick van Dijk, Philip Hans Franses

Publication date 1 July 2003

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited in

(10)

• Diagnostics for conditional heteroscedasticity models: some simulation results.
• Sequential monitoring of minimum variance portfolio
• Nonlinear and asymmetric pricing behaviour in the Spanish gasoline market
• Regime-switching recurrent reinforcement learning for investment decision making
• Slope influence diagnostics in conditional heteroscedastic time series models
• On double hysteretic heteroskedastic model
• Forecasting with non-homogeneous hidden Markov models
• Forecasting with non-homogeneous hidden Markov models
• Spectral inversion of second order Volterra models based on the blind identification of Wiener models
• Markov-switching stochastic trends and economic fluctuations

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4407595)