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~person:"Rodriguez, Gabriel"
~person:"Siu, Tak Kuen"
~subject:"Markov chain"
~subject:"Stochastischer Prozess"
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Search: subject_exact:"Hidden Markov model"
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Markov chain
Stochastischer Prozess
Markov-Kette
42
Theorie
21
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21
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19
Option pricing theory
16
Optionspreistheorie
16
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14
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42
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Rodriguez, Gabriel
Siu, Tak Kuen
Elliott, Robert J.
47
Casarin, Roberto
41
Billio, Monica
39
Waggoner, Daniel F.
37
Dijk, Herman K. van
28
Guidolin, Massimo
28
Gupta, Rangan
27
Stachurski, John
27
Tsionas, Efthymios G.
27
Zha, Tao
27
Bauwens, Luc
25
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24
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24
Reffett, Kevin L.
24
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23
Sola, Martin
23
Balbus, Lukasz
22
Chauvet, Marcelle
21
Chib, Siddhartha
21
Cui, Zhenyu
21
Dufays, Arnaud
21
Kim, Chang-jin
21
Kohn, Robert
21
Krolzig, Hans-Martin
21
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21
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20
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20
Paap, Richard
20
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19
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19
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18
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18
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18
Kamihigashi, Takashi
18
Lux, Thomas
18
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17
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17
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17
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17
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4
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4
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3
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3
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3
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3
International journal of theoretical and applied finance
3
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2
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2
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2
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ECONIS (ZBW)
42
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1
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:
2
Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility
Chávez, Paulo
;
Rodriguez, Gabriel
-
2022
-
Primera edición
Persistent link: https://www.econbiz.de/10013273077
Saved in:
3
Approximate Bayesian estimation of stochastic volatility in mean models using Hidden Markov Models: empirical evidence from stock Latin American markets
Abanto-Valle, Carlos A.
;
Rodriguez, Gabriel
;
Castro …
-
2021
-
Primera edición
Persistent link: https://www.econbiz.de/10013170523
Saved in:
4
Time changing effects of external shocks on macroeconomic fluctuations in Peru : empirical application using regime-switching VAR models with stochastic volatility
Chávez, Paulo
;
Rodriguez, Gabriel
- In:
Review of world economics
159
(
2023
)
2
,
pp. 505-544
Persistent link: https://www.econbiz.de/10014308071
Saved in:
5
Stochastic volatility in mean : empirical evidence from stock Latin American markets
Abanto-Valle, Carlos A.
;
Rodriguez, Gabriel
; …
-
2020
Persistent link: https://www.econbiz.de/10012435606
Saved in:
6
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:
7
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:
8
Pricing dynamic fund protection under hidden Markov models
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
IMA journal of management mathematics
29
(
2018
)
1
,
pp. 99-117
Persistent link: https://www.econbiz.de/10011858973
Saved in:
9
Stochastic volatility in mean : empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods
Abanto-Valle, Carlos A.
;
Rodriguez, Gabriel
; …
- In:
The quarterly review of economics and finance : journal …
80
(
2021
),
pp. 272-286
Persistent link: https://www.econbiz.de/10012655392
Saved in:
10
Empirical modeling of Latin American stock ans Forex markes returns and volatility using Markov-Switching Garch models
Ataurima Arellano, Miguel
;
Collantes, Erika
;
Rodriguez, …
-
2017
Persistent link: https://www.econbiz.de/10011738077
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