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type_genre:"Article in journal"
~person:"Siu, Tak Kuen"
~subject:"Estimation"
~subject:"Stochastic process"
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Estimation
Stochastic process
Theorie
41
Theory
41
Markov chain
14
Markov-Kette
14
Portfolio selection
13
Portfolio-Management
13
Stochastischer Prozess
13
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11
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11
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4
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Siu, Tak Kuen
Escudero, Laureano F.
35
Kumbhakar, Subal
33
Gil-Alaña, Luis A.
32
Phillips, Peter C. B.
30
Caporale, Guglielmo Maria
29
Serletis, Apostolos
26
Gupta, Rangan
22
Gendreau, Michel
21
Tsionas, Efthymios G.
21
Fabozzi, Frank J.
19
Bahmani-Oskooee, Mohsen
18
McAleer, Michael
18
Chan, Joshua
17
Wong, Wing Keung
17
Koopman, Siem Jan
16
Shapiro, Alexander
16
Chang, Tsangyao
15
Ghysels, Eric
15
Moosa, Imad A.
15
Wohar, Mark E.
15
Taylor, Robert
14
Wirjanto, Tony S.
14
Yu, Jun
14
Asai, Manabu
13
Engsted, Tom
13
Escobar, Marcos
13
Koop, Gary
13
Maggioni, Francesca
13
Peel, David
13
Wallace, Stein W.
13
Apergēs, Nikolaos
12
Bollerslev, Tim
12
Creedy, John
12
MacDonald, Ronald
12
Marcellino, Massimiliano
12
Rossi, Roberto
12
Blundell, Richard W.
11
Brooks, Robert
11
Chu, Feng
11
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Insurance / Mathematics & economics
3
Annals of finance
2
Economic modelling
2
Asia-Pacific financial markets
1
Decisions in economics and finance : a journal of applied mathematics
1
IMA journal of management mathematics
1
Mathematical methods of operations research
1
OR spectrum : quantitative approaches in management
1
Operations research letters
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
14
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14
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1
Optimal risk exposure and dividend payout policies under model uncertainty
Feng, Yang
;
Zhu, Jinxia
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 1-29
Persistent link: https://www.econbiz.de/10012622379
Saved in:
2
Trading strategy with stochastic volatility in a limit order book market
Yang, Qing-Qing
;
Ching, Wai Ki
;
Gu, Jiawen
;
Siu, Tak Kuen
- In:
Decisions in economics and finance : a journal of …
43
(
2020
)
1
,
pp. 277-301
Persistent link: https://www.econbiz.de/10012285400
Saved in:
3
Pricing dynamic fund protection under hidden Markov models
Fan, Kun
;
Shen, Yang
;
Siu, Tak Kuen
;
Wang, Rongming
- In:
IMA journal of management mathematics
29
(
2018
)
1
,
pp. 99-117
Persistent link: https://www.econbiz.de/10011858973
Saved in:
4
A hidden Markov regime-switching smooth transition model
Elliott, Robert J.
;
Siu, Tak Kuen
;
Lau, John W.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
22
(
2018
)
4
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011965140
Saved in:
5
A higher-order interactive hidden Markov model and its applications
Zhu, Dong-Mei
;
Ching, Wai Ki
;
Elliott, Robert J.
;
Siu, …
- In:
OR spectrum : quantitative approaches in management
39
(
2017
)
4
,
pp. 1055-1069
Persistent link: https://www.econbiz.de/10011777086
Saved in:
6
Discrete-time optimal asset allocation under Higher-Order Hidden Markov Model
Zhu, Dong-Mei
;
Lu, Jiejun
;
Ching, Wai Ki
;
Siu, Tak Kuen
- In:
Economic modelling
66
(
2017
),
pp. 223-232
Persistent link: https://www.econbiz.de/10011813727
Saved in:
7
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
Saved in:
8
Mean-variance portfolio selection under a constant elasticity of variance model
Shen, Yang
;
Zhang, Xin
;
Siu, Tak Kuen
- In:
Operations research letters
42
(
2014
)
5
,
pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
Saved in:
9
Pricing participating products with Markov-modulated jump-diffusion process : an efficient numerical PIDE approach
Fard, Farzad Alavi
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 712-721
Persistent link: https://www.econbiz.de/10010227894
Saved in:
10
Longevity bond pricing under stochastic interest rate and mortality with regime-switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Insurance / Mathematics & economics
52
(
2013
)
1
,
pp. 114-123
Persistent link: https://www.econbiz.de/10009718990
Saved in:
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