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~language:"eng"
~person:"Cui, Zhenyu"
~person:"Elliott, Robert J."
~person:"Krolzig, Hans-Martin"
~person:"Tsionas, Efthymios G."
~subject:"Markov-Kette"
~type_genre:"Article in journal"
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Markov-Kette
Theorie
159
Theory
159
Technical efficiency
89
Technische Effizienz
89
Markov chain
79
Bayes-Statistik
73
Bayesian inference
73
Option pricing theory
64
Optionspreistheorie
64
Estimation theory
61
Schätztheorie
61
Stochastic process
59
Stochastischer Prozess
59
Estimation
44
Productivity
43
Schätzung
43
Produktivität
41
Production function
37
Produktionsfunktion
37
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37
Volatilität
37
Monte Carlo simulation
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32
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24
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21
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20
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20
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19
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Article in journal
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Cui, Zhenyu
Elliott, Robert J.
Krolzig, Hans-Martin
Tsionas, Efthymios G.
Siu, Tak Kuen
32
Gupta, Rangan
19
Sola, Martin
16
D'Amico, Guglielmo
15
Guo, Xianping
15
Kim, Chang-jin
15
Ciecka, James E.
13
Reffett, Kevin L.
13
Cavazos-Cadena, Rolando
12
Feinberg, Eugene A.
12
Jaśkiewicz, Anna
12
Balbus, Lukasz
11
Chan, Leunglung
11
Nowak, Andrzej S.
11
Piger, Jeremy Max
11
Psaradakis, Zacharias G.
11
Serletis, Apostolos
11
Balcilar, Mehmet
10
Casarin, Roberto
10
Cavicchioli, Maddalena
10
Li, Yong
10
Shi, Yanlin
10
Skoog, Gary R.
10
Billio, Monica
9
Chauvet, Marcelle
9
Chen, Cathy W. S.
9
Chevallier, Julien
9
Chib, Siddhartha
9
Goutte, Stéphane
9
Holmes, Mark J.
9
Jain, Madhu
9
Lee, Hsiang-Tai
9
Maheu, John M.
9
Spagnolo, Nicola
9
Woźny, Łukasz
9
Xu, Libo
9
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International journal of theoretical and applied finance
11
European journal of operational research : EJOR
10
Annals of finance
5
Economics letters
4
Journal of economic dynamics & control
4
Applied mathematical finance
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Quantitative finance
3
Insurance / Mathematics & economics
2
International journal of forecasting
2
Journal of econometrics
2
The econometrics journal
2
The journal of derivatives : JOD
2
The journal of futures markets
2
Vierteljahrshefte zur Wirtschaftsforschung
2
Annals of operations research
1
Asia-Pacific financial markets
1
Econometrics : open access journal
1
Economic systems research
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Energy economics
1
IMA journal of management mathematics
1
International journal of finance & economics : IJFE
1
International journal of financial engineering and risk management
1
International journal of theoretical and applied finance : IJTAF
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of quantitative economics
1
Managerial finance
1
Mathematical methods of operations research : ZOR
1
OR spectrum : quantitative approaches in management
1
Oxford economic papers
1
Statistical papers
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The Manchester School
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Tourism management : research, policies, practice
1
Transportation research / E : an international journal
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ECONIS (ZBW)
79
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79
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1
Analysis of VIX-linked fee incentives in variable annuities via continuous-time Markov chain approximation
MacKay, Anne
;
Vachon, Marie-Claude
;
Cui, Zhenyu
- In:
Quantitative finance
23
(
2023
)
7/8
,
pp. 1055-1078
Persistent link: https://www.econbiz.de/10014321664
Saved in:
2
Bayesian learning in performance : is there any?
Tsionas, Efthymios G.
- In:
European journal of operational research : EJOR
311
(
2023
)
1
,
pp. 263-282
Persistent link: https://www.econbiz.de/10014336445
Saved in:
3
Estimating outcomes in the presence of endogeneity and measurement error with an application to R&D
De Silva, Dakshina G.
;
Hubbard, Timothy P.
;
Schiller, …
- In:
The quarterly review of economics and finance : journal …
88
(
2023
),
pp. 278-294
Persistent link: https://www.econbiz.de/10014428069
Saved in:
4
Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
The journal of futures markets
43
(
2023
)
7
,
pp. 925-950
Persistent link: https://www.econbiz.de/10014293270
Saved in:
5
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:
6
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:
7
Instrumental variables estimation without outside instruments
Tran, Kien C.
;
Tsionas, Efthymios G.
- In:
Journal of quantitative economics
20
(
2022
)
3
,
pp. 489-506
Persistent link: https://www.econbiz.de/10013441680
Saved in:
8
A stochastic control approach to bid-ask price modelling
Dela Vega, Engel John C.
;
Elliott, Robert J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-30
Persistent link: https://www.econbiz.de/10013371064
Saved in:
9
Analysis of Markov chain approximation for Asian options and occupation-time derivatives : Greeks and convergence rates
Yang, Wensheng
;
Ma, Jingtang
;
Cui, Zhenyu
- In:
Mathematical methods of operations research : ZOR
93
(
2021
)
2
,
pp. 359-412
Persistent link: https://www.econbiz.de/10012548535
Saved in:
10
Comparison of stochastic frontier models using the Hyvärinen factor
Tsionas, Efthymios G.
- In:
Economics letters
202
(
2021
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012607224
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