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Journal of economic dynamics & control
Research papers / Leverhulme Centre for Research on Globalisation and Economic Policy
65
The economic journal : the journal of the Royal Economic Society
53
The world economy : the leading journal on international economic relations
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A hidden Markov model of credit quality
Korolkiewicz, Małgorzata W.
;
Elliott, Robert J.
- In:
Journal of economic dynamics & control
32
(
2008
)
12
,
pp. 3807-3819
Persistent link: https://www.econbiz.de/10003804739
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2
Parameter estimation in commodity markets : a filtering approach
Elliott, Robert J.
;
Hyndman, Cody B.
- In:
Journal of economic dynamics & control
31
(
2007
)
7
,
pp. 2350-2373
Persistent link: https://www.econbiz.de/10003485120
Saved in:
3
On pricing and hedging options in regime-switching models with feedback effect
Elliott, Robert J.
;
Siu, Tak Kuen
;
Badescu, Alexandru
- In:
Journal of economic dynamics & control
35
(
2011
)
5
,
pp. 694-713
Persistent link: https://www.econbiz.de/10009240566
Saved in:
4
Quadratic hedging schemes for non-Gaussian GARCH models
Badescu, Alexandru
;
Elliott, Robert J.
;
Ortega, Juan-Pablo
- In:
Journal of economic dynamics & control
42
(
2014
),
pp. 13-32
Persistent link: https://www.econbiz.de/10010426624
Saved in:
5
Drift and volatility estimation in discrete time
Elliott, Robert J.
- In:
Journal of economic dynamics & control
22
(
1998
)
2
,
pp. 209-218
Persistent link: https://www.econbiz.de/10001232395
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6
Robust parameter estimation for asset price models with Markov modulated volatilities
Elliott, Robert J. R.
;
Malcolm, W. P.
;
Tsoi, Allanus H.
- In:
Journal of economic dynamics & control
27
(
2003
)
8
,
pp. 1391-1409
Persistent link: https://www.econbiz.de/10001736104
Saved in:
7
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
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