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A time series model with periodic stochastic regime switching
Ghysels, Eric - 1993
Persistent link: https://www.econbiz.de/10000865918
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Three essays in the term structure of interest rates
Yi, Chun Won - 2003
Persistent link: https://www.econbiz.de/10003778929
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A likelihood ratio test for stationarity of rating transitions
Weissbach, Rafael; Walter, Ronja - 2008
For a time-continuous discrete-state Markov process as model for rating transitions, we study the time-stationarity by means of a likelihood ratio test. For multiple Markov process data from a multiplicative intensity model, maximum likelihood parameter estimates can be represented as martingale...
Persistent link: https://www.econbiz.de/10003837749
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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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Threshold selection in jump-discriminant filter for discretely observed jump processes
Shimizu, Yasutaka - In: Statistical methods & applications : SMA ; journal of … 19 (2010) 3, pp. 355-378
Persistent link: https://www.econbiz.de/10008649257
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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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Flexible modeling of dependence in volatility processes
Kalli, Maria; Griffin, Jim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 102-113
Persistent link: https://www.econbiz.de/10011389911
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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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Strategy selection and outcome prediction in sport using dynamic learning for stochastic processes
Percy, David Frank - In: Journal of the Operational Research Society : OR 66 (2015) 11, pp. 1840-1849
Persistent link: https://www.econbiz.de/10011418545
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Stochastic levels and duration dependence in US unemployment
Bruijn, Bert de; Franses, Philip Hans - 2015
Persistent link: https://www.econbiz.de/10011432575