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Information stages in efficient markets
AitSahlia, Farid; Yoon, Joon-Hui - In: Journal of banking & finance 69 (2016), pp. 84-94
Persistent link: https://www.econbiz.de/10011635045
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Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10011905831
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On the natural restrictions in the singular Gauss-Markov model
Tian, Yongge; Beisiegel, M.; Dagenais, E.; Haines, C. - In: Statistical papers 49 (2008) 3, pp. 553-564
Persistent link: https://www.econbiz.de/10003715387
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Bewertung amerikanischer Optionen mit Hilfe von regressionsbasierten Monte-Carlo-Verfahren
Todorović, Nebojša - 2007
Persistent link: https://www.econbiz.de/10003635108
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Asymptotic least squares estimators for dynamic games
Pesendorfer, Martin; Schmidt-Dengler, Philipp - In: The review of economic studies 75 (2008) 3, pp. 901-928
Persistent link: https://www.econbiz.de/10003733855
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The Gauss Markov theorem : a pedagogical note
Allen, Ralph C.; Stone, Jack Herbert - In: The American economist : journal of Omnicron Delta … 45 (2001) 1, pp. 92-94
Persistent link: https://www.econbiz.de/10001696843
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Linear-representations based estimation of switching-regime GARCH models
Francq, Christian; Zakoïan, Jean-Michel - 1999
Persistent link: https://www.econbiz.de/10001430409
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MCMC vs OLS As a Tool for Interpolating Stochastic Processes
Brody, Caleb - 2018
The purpose of this notebook is to demonstrate a simple use case for MCMC (Markov Chain Monte Carlo) methods for solving for parameters of a known relationship in a system which is prone to black swan events and large jumps. This is only a test of principal, using simulated data, for the purpose...
Persistent link: https://www.econbiz.de/10012930569
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Parametric estimation of hidden Markov models by least squares type estimation and deconvolution
Chesneau, Christophe; El Kolei, Salima; Navarro, Fabien - 2017
Persistent link: https://www.econbiz.de/10012200019
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Testing for the omission of relevant variables and regime-switching misspecification
Beccarini, Andrea - In: Empirical economics : a journal of the Institute for … 56 (2019) 3, pp. 775-796
Persistent link: https://www.econbiz.de/10012041667