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Viterbi-Based Estimation for M...
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Markov chain
Theorie
112
Theory
112
Optionspreistheorie
72
Option pricing theory
71
Markov-Kette
66
Stochastic process
55
Stochastischer Prozess
55
Volatility
47
Volatilität
46
Portfolio selection
32
Portfolio-Management
32
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26
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15
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Elliott, Robert J.
49
Siu, Tak Kuen
34
Mamon, Rogemar S.
6
Shen, Yang
6
Chan, Leunglung
5
Ching, Wai Ki
5
Nishide, Katsumasa
4
Badescu, Alex
3
Fan, Kun
3
Hunter, William Curt
3
Jamieson, Barbara M.
3
Lau, John W.
3
Miao, Hong
3
Zhu, Dong-Mei
3
Elliott, Robert J. R.
2
Fard, Farzad Alavi
2
Fung, Eric S.
2
Li, Li-min
2
Lu, Jiejun
2
Ng, Michael K.
2
Osakwe, Carlton-James U.
2
Shen, Jia
2
Wang, Rongming
2
Bradrania, Reza
1
Buffington, John
1
Ching, Wai-Ki
1
Dela Vega, Engel John C.
1
Gueyie, Jean-Pierre
1
Guo, Ivan
1
Guo, Junyi
1
Hamada, Ahmed S.
1
Han, Bing
1
Hinz, Juri
1
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1
Huang, Ximin
1
Jiang, Hao
1
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1
Korolkiewicz, Małgorzata W.
1
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1
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International journal of theoretical and applied finance
11
Annals of finance
6
Insurance / Mathematics & economics
5
Applied mathematical finance
4
Computational economics
4
Journal of economic dynamics & control
4
Economic modelling
3
International Series in Operations Research & Management Science
3
SpringerLink / Bücher
3
The journal of futures markets
3
IMA journal of management mathematics
2
International series in operations research & management science
2
Managerial Finance
2
Annals of operations research
1
Asia-Pacific financial markets
1
Finance and stochastics
1
International journal of financial engineering and risk management
1
International journal of theoretical and applied finance : IJTAF
1
Managerial finance
1
Mathematical modeling and numerical methods in finance : special volume
1
OR spectrum : quantitative approaches in management
1
Quantitative finance
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The econometrics journal
1
The journal of credit risk : published quarterly by Incisive Media
1
The journal of derivatives : JOD
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ECONIS (ZBW)
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Viterbi-based estimation for Markov switching GARCH model
Elliott, Robert J.
;
Lau, John W.
;
Miao, Hong
;
Siu, Tak Kuen
- In:
Applied mathematical finance
19
(
2012
)
3/4
,
pp. 219-231
Persistent link: https://www.econbiz.de/10009710984
Saved in:
2
A hidden Markov regime-switching smooth transition model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Lau, John W.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011965140
Saved in:
3
Pricing risky debts under a Markov-modudated Merton model with completely random measures
Lau, John W.
;
Siu, Tak Kuen
- In:
Computational economics
31
(
2008
)
3
,
pp. 255-288
Persistent link: https://www.econbiz.de/10003691910
Saved in:
4
A PDE approach for risk measures for derivatives with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Annals of finance
4
(
2008
)
1
,
pp. 55-74
Persistent link: https://www.econbiz.de/10003589415
Saved in:
5
Option pricing for GARCH models with Markov switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
International journal of theoretical and applied finance
9
(
2006
)
6
,
pp. 825-841
Persistent link: https://www.econbiz.de/10003380278
Saved in:
6
Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Applied mathematical finance
14
(
2007
)
1
,
pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
Saved in:
7
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
Elliott, Robert J.
;
Siu, Tak Kuen
-
2010
Persistent link: https://www.econbiz.de/10003964890
Saved in:
8
Markovian regime-switching market completion using additional Markov jump assets
Zhang, Xin
;
Elliott, Robert J.
;
Siu, Tak Kuen
;
Guo, Junyi
- In:
IMA journal of management mathematics
23
(
2012
)
3
,
pp. 283-305
Persistent link: https://www.econbiz.de/10009572468
Saved in:
9
Asset pricing using trading volumes in a hidden regime-switching environment
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
Asia-Pacific financial markets
22
(
2015
)
2
,
pp. 133-149
Persistent link: https://www.econbiz.de/10011377522
Saved in:
10
Attainable contingent claims in a Markovian regime-switching market
Elliott, Robert J.
;
Siu, Tak Kuen
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-19
Persistent link: https://www.econbiz.de/10009706331
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