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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

Jump diffusion transition intensities in life insurance and disability annuity

Jang, Jiwook; Siti Norafidah Mohd Ramli - In: Insurance / Mathematics & economics 64 (2015), pp. 440-451

Persistent link: https://www.econbiz.de/10011398140

Optimal asset-liability management for an insurer under markov regime switching jump-diffusion market

Yu, Jun - In: Asia-Pacific financial markets 21 (2014) 4, pp. 317-330

Persistent link: https://www.econbiz.de/10010511568

PH-graphs for analyzing shortest path problems with correlated traveling times

Buchholz, Peter; Dohndorf, Iryna - In: Computers & operations research : and their … 59 (2015), pp. 51-65

Persistent link: https://www.econbiz.de/10010515223

The post-disaster debris clearance problem under incomplete information

Çelik, Melih; Ergun, Özlem; Keskinocak, Pınar - In: Operations research 63 (2015) 1, pp. 65-85

Persistent link: https://www.econbiz.de/10010519512

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

The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...

Persistent link: https://www.econbiz.de/10011376640

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

Emergence of macro-variables by evaluation and clustering of micro- activities

Loistl, Otto - In: The European journal of finance 21 (2015) 7/9, pp. 691-713

Persistent link: https://www.econbiz.de/10011302052

Bayesian analysis of asymmetric stochastic conditional duration model

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of forecasting 34 (2015) 1, pp. 36-56

Persistent link: https://www.econbiz.de/10011305352