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A quartet of semigroups for model specification, robustness, prices of risk, and model detection
Anderson, Ewan W.; Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of the European Economic Association 1 (2003) 1, pp. 68-123
Persistent link: https://www.econbiz.de/10001777218
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Cost control development under stochastic performance control
Naeini, Milad Eghtedari - In: International journal of economics, finance and … 1 (2013) 1, pp. 54-60
Persistent link: https://www.econbiz.de/10010248346
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Debiased expert forecasts in continuous-time asset allocation
Davis, Mark H. A.; Lleo, Sébastien - In: Journal of banking & finance 113 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012226106
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Incorporating signals into optimal trading
Lehalle, Charles-Albert; Neuman, Eyal - In: Finance and stochastics 23 (2019) 2, pp. 275-311
Persistent link: https://www.econbiz.de/10012023738
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Pricing temperature derivatives under weather forecasts
Hess, Markus - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-34
Persistent link: https://www.econbiz.de/10011903773
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Prediction of protein interdomain linker regions by a nonstationary hidden Markov model
Bae, Kyounghwa; Mallick, Bani K.; Elsik, Christine G. - In: Journal of the American Statistical Association : JASA 103 (2008) 483, pp. 1085-1099
Persistent link: https://www.econbiz.de/10003773096
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On the forecasting of economic time series : structural versus data-based approaches
Wang, Mu-Chun - 2009 - 1. ed.
Persistent link: https://www.econbiz.de/10003868101
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l 1 - penalized likelihood smoothing of volatility processes allowing for abrupt changes
Neto, David; Sardy, Sylvain; Tseng, Paul - 2009
Persistent link: https://www.econbiz.de/10003926975
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Bayesian inference for a periodic stochastic volatility model of intraday electricity prices
Smith, Michael Stanley - In: Statistical modelling and regression structures : …, (pp. 353-376). 2010
Persistent link: https://www.econbiz.de/10003964500
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Examining realized volatility regimes under a threshold stochastic volatility model
Xu, Dinghai - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 373-389
Persistent link: https://www.econbiz.de/10009689475