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subject:"Markov chain"
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Markov chain
Markov-Kette
Stochastic process
81
Stochastischer Prozess
81
Theorie
41
Theory
41
Volatility
20
Volatilität
20
Estimation
18
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18
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Siu, Tak Kuen
3
Shen, Yang
2
Bao Hoang Nguyen
1
Chen, Shyh-Wei
1
Ching, Wai Ki
1
Feng, Yun
1
Gao, Shen
1
Hainaut, Donatien
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Hou, Chenghan
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Iiboshi, Hirokuni
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Lu, Jiejun
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Pan, Qi
1
Shen, Chung-hua
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Wang, Nianling
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Wu, Chong-feng
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Economic modelling
European journal of operational research : EJOR
37
Insurance / Mathematics & economics
22
International journal of theoretical and applied finance
20
Mathematics of operations research
17
Operations research
14
Quantitative finance
14
Journal of econometrics
13
Finance and stochastics
12
International journal of production research
12
Annals of operations research
11
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10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Mathematical methods of operations research
10
Risks : open access journal
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Working paper / Department of Econometrics and Business Statistics, Monash University
9
Econometric reviews
8
Economic theory : official journal of the Society for the Advancement of Economic Theory
8
Energy economics
8
Journal of economic dynamics & control
8
Journal of mathematical finance
8
Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW)
8
Finance research letters
7
Mathematical methods of operations research : ZOR
7
Operations research letters
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Annals of finance
6
Applied mathematical finance
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Asia-Pacific financial markets
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Computers & operations research : and their applications to problems of world concern ; an international journal
6
Journal of forecasting
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Journal of risk and financial management : JRFM
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Quantitative economics : QE ; journal of the Econometric Society
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Review of quantitative finance and accounting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The journal of computational finance
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International journal of financial engineering
5
International journal of production economics
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Journal of empirical finance
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Opsearch : journal of the Operational Research Society of India
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ECONIS (ZBW)
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1
Sequential Bayesian analysis for semiparametric stochastic volatility model with applications
Wang, Nianling
;
Lou, Zhusheng
- In:
Economic modelling
123
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014462582
Saved in:
2
Modelling persistent stationary processes in continuous time
Jeong, Minsoo
- In:
Economic modelling
109
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013348235
Saved in:
3
Forecasting natural gas prices using highly flexible time-varying parameter models
Gao, Shen
;
Hou, Chenghan
;
Bao Hoang Nguyen
- In:
Economic modelling
105
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013367152
Saved in:
4
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:
5
Monetary policy regime shifts under the zero lower bound : an application of a stochastic rational expectations equilibrium to a Markov switching DSGE model
Iiboshi, Hirokuni
- In:
Economic modelling
52
(
2016
),
pp. 186-205
Persistent link: https://www.econbiz.de/10011645621
Saved in:
6
A fractal version of the Hull-White interest rate model
Hainaut, Donatien
- In:
Economic modelling
31
(
2013
),
pp. 323-334
Persistent link: https://www.econbiz.de/10009729087
Saved in:
7
Response of the term structure of forward exchange rate to jump in the interest rate
Li, Xiao-ping
;
Feng, Yun
;
Wu, Chong-feng
;
Xu, Wei-dong
- In:
Economic modelling
30
(
2013
),
pp. 863-874
Persistent link: https://www.econbiz.de/10009708784
Saved in:
8
Pricing bond options under a Markovian regime-switching Hull-White model
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
30
(
2013
),
pp. 933-940
Persistent link: https://www.econbiz.de/10009710001
Saved in:
9
Testing volatility persistence on Markov switching stochastic volatility models
Pan, Qi
;
Li, Yong
- In:
Economic modelling
35
(
2013
),
pp. 45-50
Persistent link: https://www.econbiz.de/10010258578
Saved in:
10
Asset allocation under stochastic interest rate with regime switching
Shen, Yang
;
Siu, Tak Kuen
- In:
Economic modelling
29
(
2012
)
4
,
pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
Saved in:
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