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Why use Markov-switching models in exchange rate prediction?

Lee, Hsiu-yun; Chen, Show-lin - In: Economic modelling 23 (2006) 4, pp. 662-668

Persistent link: https://www.econbiz.de/10003353917

Limited information Bayesian analysis of a simultaneous equation with an autocorrelated error term and its application to the US gasoline market

Radchenko, Stanislav; Tsurumi, Hiroki - In: Journal of econometrics 133 (2006) 1, pp. 31-49

Persistent link: https://www.econbiz.de/10003354223

A flexible prior distribution for Markov switching autoregressions with student-t errors

Deschamps, Jean-Philippe - In: Journal of econometrics 133 (2006) 1, pp. 153-190

Persistent link: https://www.econbiz.de/10003354563

Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form

Bos, Charles S.; Shephard, Neil G. - In: Econometric reviews 25 (2006) 2/3, pp. 219-244

Persistent link: https://www.econbiz.de/10003355740

Algorithmic procedures for mean variance optimality in Markov decision chains

Sladký, Karel; Sitař, Milan - In: Operations research proceedings 2005 : selected papers …, (pp. 799-804). 2006

Persistent link: https://www.econbiz.de/10003356129

Analytic backward induction of option cash flows: a new application paradigm for the Markovian interest rate models

Gan, Junwu - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1019-1057

Persistent link: https://www.econbiz.de/10003280033

Portfolio optimization in stochastic markets

Çakmak, U.; Özekici, S. - In: Mathematical methods of operations research 63 (2006) 1, pp. 151-168

Persistent link: https://www.econbiz.de/10003285483

Time consistent dynamic risk measures

Boda, Kang; Filar, Jerzy A. - In: Mathematical methods of operations research 63 (2006) 1, pp. 169-186

Persistent link: https://www.econbiz.de/10003285486

The non-linear dynamics of spot freight rates in tanker markets

Adland, Roar; Cullinane, Kevin - In: Transportation research / E : an international journal 42 (2006) 3, pp. 211-224

Persistent link: https://www.econbiz.de/10003308253

Kolmogorov-Smirnov-type testing for the partial homogeneity of Markov processes : with application to credit risk

Weißbach, Rafael (contributor); Dette, Holger (contributor) - 2005

In banking the default behavior of the counterpart is of interest not only for the pricing of transactions under credit risk but also for the assessment of portfolio credit risk. We develop a test against the hypothesis that default intensities are constant over time within a homogeneous group...

Persistent link: https://www.econbiz.de/10003308927