//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
accessRights:"restricted"
~person:"Elliott, Robert J."
~person:"Guérin, Pierre"
~subject:"Business cycle"
~subject:"Option pricing theory"
~subject:"Portfolio selection"
~subject:"Theory"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Markov chain"
Narrow search
Delete all filters
| 7 applied filters
Year of publication
From:
To:
Subject
All
Business cycle
Option pricing theory
Portfolio selection
Theory
Markov chain
18
Markov-Kette
16
Theorie
11
Estimation
6
Schätzung
6
Stochastic process
6
Stochastischer Prozess
6
Forecasting model
5
Prognoseverfahren
5
Frühindikator
4
Leading indicator
4
Time series analysis
4
Zeitreihenanalyse
4
Financial economics
3
Financial investment
3
Financial market
3
Finanzmarkt
3
Forecasting
3
Kapitalanlage
3
Kapitalmarkttheorie
3
Konjunktur
3
Markov-switching
3
Optionspreistheorie
3
Portfolio-Management
3
Regime switching risk
3
VAR model
3
VAR-Modell
3
Bayes-Statistik
2
Bayesian inference
2
Bonds
2
Derivat
2
Derivative
2
Double Esscher transform
2
Economic forecast
2
Euro area
2
Eurozone
2
more ...
less ...
Online availability
All
Undetermined
Free
8
Type of publication
All
Article
11
Book / Working Paper
5
Type of publication (narrower categories)
All
Article in journal
10
Aufsatz in Zeitschrift
10
Arbeitspapier
2
Graue Literatur
2
Non-commercial literature
2
Working Paper
2
Aufsatz im Buch
1
Aufsatzsammlung
1
Book section
1
Collection of articles of several authors
1
Sammelwerk
1
more ...
less ...
Language
All
English
16
Author
All
Elliott, Robert J.
Guérin, Pierre
Tsionas, Efthymios G.
12
Cui, Zhenyu
9
Serletis, Apostolos
8
Siu, Tak Kuen
8
Cavicchioli, Maddalena
7
Feinberg, Eugene A.
7
Kirkby, J. Lars
7
Li, Lingfei
7
Nguyen, Duy
7
Xu, Libo
7
Casarin, Roberto
6
Goyal, Vineet
6
Marcellino, Massimiliano
6
He, Xin-Jiang
5
Houtum, Geert-Jan van
5
Lee, Hsiang-Tai
5
Leiva-Leon, Danilo
5
Li, Yong
5
Lunday, Brian J.
5
Robbins, Matthew J.
5
Zhang, Gongqiu
5
Zhu, Song-Ping
5
Arts, Joachim
4
Billio, Monica
4
Chang, Kuang-Liang
4
Chen, Son-nan
4
Ching, Wai Ki
4
Creemers, Stefan
4
Cui, Lirong
4
D'Amico, Guglielmo
4
Dimitrakopoulos, Stefanos
4
Dufays, Arnaud
4
Foerster, Andrew
4
Gerlach, Richard
4
Hainaut, Donatien
4
Kang, Kyu Ho
4
Lesage, James P.
4
Maheu, John M.
4
more ...
less ...
Published in...
All
Discussion paper / Centre for Economic Policy Research
2
International Series in Operations Research & Management Science
2
SpringerLink / Bücher
2
Annals of finance
1
Economics letters
1
Essays in honour of Fabio Canova
1
International journal of forecasting
1
International series in operations research & management science
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic dynamics & control
1
OR spectrum : quantitative approaches in management
1
Quantitative finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The journal of derivatives : JOD
1
The journal of futures markets
1
more ...
less ...
Source
All
ECONIS (ZBW)
16
Showing
1
-
10
of
16
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
American option pricing and filtering with a hidden regime-switching jump diffusion
Siu, Tak Kuen
;
Elliott, Robert J.
- In:
The journal of derivatives : JOD
29
(
2022
)
3
,
pp. 106-123
Persistent link: https://www.econbiz.de/10013174827
Saved in:
2
A generalized Esscher transform for option valuation with regime switching risk
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 691-705
Persistent link: https://www.econbiz.de/10013367853
Saved in:
3
Heterogeneous switching in FAVAR models
Guérin, Pierre
;
Leiva-León, Danilo
- In:
Essays in honour of Fabio Canova
,
(pp. 65-98)
.
2022
Persistent link: https://www.econbiz.de/10013443910
Saved in:
4
Markov-switching three-pass regression filter
Guérin, Pierre
;
Leiva-Leon, Danilo
;
Marcellino, …
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 285-302
Persistent link: https://www.econbiz.de/10012262467
Saved in:
5
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
Saved in:
6
A hidden Markov regime-switching smooth transition model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Lau, John W.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011965140
Saved in:
7
Model averaging in Markov-switching models : predicting national recessions with regional data
Guérin, Pierre
;
Leiva-Leon, Danilo
- In:
Economics letters
157
(
2017
),
pp. 45-49
Persistent link: https://www.econbiz.de/10011847300
Saved in:
8
A higher-order interactive hidden Markov model and its applications
Zhu, Dong-Mei
;
Ching, Wai Ki
;
Elliott, Robert J.
;
Siu, …
- In:
OR spectrum : quantitative approaches in management
39
(
2017
)
4
,
pp. 1055-1069
Persistent link: https://www.econbiz.de/10011777086
Saved in:
9
Heston-type stochastic volatility with a Markov switching regime
Elliott, Robert J.
;
Nishide, Katsumasa
;
Osakwe, …
- In:
The journal of futures markets
36
(
2016
)
9
,
pp. 902-919
Persistent link: https://www.econbiz.de/10011568671
Saved in:
10
Credit risk and contagion via self-exciting default intensity
Elliott, Robert J.
;
Shen, Jia
- In:
Annals of finance
11
(
2015
)
3/4
,
pp. 319-344
Persistent link: https://www.econbiz.de/10011459064
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->