The following pages link to Hidden Markov models in finance (Q883724):
Displaying 28 items.
- Sequential Monte Carlo sampling in hidden Markov models of nonlinear dynamical systems (Q272665) (← links)
- Application of optimal filtering methods for on-line of queueing network states (Q315121) (← links)
- Taming animal spirits: risk management with behavioural factors (Q470654) (← links)
- Information, no-arbitrage and completeness for asset price models with a change point (Q740193) (← links)
- Asymptotic properties of the maximum likelihood estimation in misspecified hidden Markov models (Q741804) (← links)
- A high-order Markov-switching model for risk measurement (Q980081) (← links)
- Unsupervised segmentation of new semi-Markov chains hidden with long dependence noise (Q994199) (← links)
- Efficient estimation of Markov regime-switching models: an application to electricity spot prices (Q1633253) (← links)
- EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies (Q1688729) (← links)
- Estimating the positive and negative jumps of asset returns via Kalman filtering. The case of Nasdaq index (Q1694509) (← links)
- Markov chains with memory, tensor formulation, and the dynamics of power iteration (Q1735395) (← links)
- Asymptotic analysis of model selection criteria for general hidden Markov models (Q1994901) (← links)
- Multivariate time series analysis from a Bayesian machine learning perspective (Q2023869) (← links)
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns (Q2288946) (← links)
- Posterior consistency for partially observed Markov models (Q2289808) (← links)
- The Baum-Welch algorithm with limiting distribution constraints (Q2294238) (← links)
- A regime switching model for temperature modeling and applications to weather derivatives pricing (Q2299383) (← links)
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation (Q2304045) (← links)
- Controllable Markov jump processes. I: Optimum filtering based on complex observations (Q2320292) (← links)
- Consistency of the maximum likelihood estimator in seasonal hidden Markov models (Q2329818) (← links)
- Consistency of the maximum likelihood estimator for general hidden Markov models (Q2429938) (← links)
- Finite Horizon Decision Timing with Partially Observable Poisson Processes (Q2904311) (← links)
- Parameter Estimation in a Regime-Switching Model with Non-normal Noise (Q4562484) (← links)
- Instantaneous Mean-Variance Hedging and Sharpe Ratio Pricing in a Regime-Switching Financial Model (Q4981886) (← links)
- On multinomial hidden Markov model for hierarchical manpower systems (Q5079484) (← links)
- A dynamic analysis of stock markets using a hidden Markov model (Q5129065) (← links)
- COVARIANCE AND CORRELATION SWAPS FOR FINANCIAL MARKETS WITH MARKOV-MODULATED VOLATILITIES (Q5411990) (← links)
- PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS (Q5416703) (← links)
