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Evolutionary estimation of a Coupled Markov chain credit risk model
Hochreiter, Ronald; Wozabal, David - In: Natural computing in computational finance : volume 3 ; …, (pp. 31-44). 2010
Persistent link: https://www.econbiz.de/10009514545
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Unified quasi-maximum likelihood estimation theory for stable and unstable Markov bilinear processes
Aknouche, Abdelhakim - In: Progress in economics research 32 (2015), pp. 169-190
Persistent link: https://www.econbiz.de/10011406594
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Backtesting value-at-risk : a generalized Markov framework
Pajhede, Thor - 2015
Persistent link: https://www.econbiz.de/10011388070
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Pricing precipitation based derivatives
Carmona, René; Diko, Pavel - In: International journal of theoretical and applied finance 8 (2005) 7, pp. 959-988
Persistent link: https://www.econbiz.de/10003206788
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Identification and normalization in Markov switching models of "business cycles"
Smith, Penelope A. (contributor);  … - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002541250
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Contemporaneous threshold autoregressive models : Estimation, forecasting and rational expectations applications
Dueker, Michael (contributor); Sola, Martin (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001983084
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Markov-switching and stochastic volatility diffusion models of short-term interest rates
Smith, Daniel R. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 183-197
Persistent link: https://www.econbiz.de/10001660372
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Closed-form likelihood function of Markov-switching models
Yang, Minxian - In: Economics letters 70 (2001) 3, pp. 319-326
Persistent link: https://www.econbiz.de/10001549898
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Markov-switching and stochastic volatility diffusion models of short-term interest rates
Smith, Daniel R. - 2000
Persistent link: https://www.econbiz.de/10001487318
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Instrumental-variables estimation in Markov switching models, with an application to testing the unbiased forward exchange rate hypothesis
Spagnolo, Fabio; Psaradakis, Zacharias G.; Sola, Martin - 2000
Persistent link: https://www.econbiz.de/10001583871