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Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Banachewicz, Konrad; Lucas, André - In: Journal of forecasting 27 (2008) 7, pp. 566-586
Persistent link: https://www.econbiz.de/10003779594
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Combination schemes for turning point predictions
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2012
Persistent link: https://www.econbiz.de/10009524199
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Predicting recessions with leading indicators : model averaging and selection over the business cycle
Berge, Travis J. - In: Journal of forecasting 34 (2015) 6, pp. 455-471
Persistent link: https://www.econbiz.de/10011343630
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Applying flexible parameter restrictions in Markov-Switching vector autoregression models
Binning, Andrew; Maih, Junior - 2015
Persistent link: https://www.econbiz.de/10011410311
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The multi-chain Markov switching model
Otranto, Edoardo - In: Journal of forecasting 24 (2005) 7, pp. 523-537
Persistent link: https://www.econbiz.de/10003199685
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Forecasting UK industrial production over the business cycle
Simpson, Paul W.; Osborn, Denise R.; Sensier, Marianne - In: Journal of forecasting 20 (2001) 6, pp. 405-424
Persistent link: https://www.econbiz.de/10001611474
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Bayesian model averaging under regime switching with application to cyclical macro variable forecasting
Shi, Jianmin - In: Journal of forecasting 35 (2016) 3, pp. 250-262
Persistent link: https://www.econbiz.de/10011580285
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Stochastic multivariate mixture covariance model
So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155
Persistent link: https://www.econbiz.de/10011729126
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Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
Bielecki, Tomasz R.; Cialenco, Igor; Ruszczyński, … - In: Mathematical methods of operations research : ZOR 98 (2023) 2, pp. 231-268
Persistent link: https://www.econbiz.de/10014423851
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First-order sensitivity of the optimal value in a Markov decision model with respect to deviations in the transition probability function
Kern, Patrick; Simroth, Axel; Zähle, Henryk - In: Mathematical methods of operations research : ZOR 92 (2020) 1, pp. 165-197
Persistent link: https://www.econbiz.de/10012301681