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~person:"Elliott, Robert J."
~subject:"Credit risk"
~subject:"Markov chain"
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Elliott, Robert J.
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Default times in a continuous time Markov chain economy
Elliott, Robert J.
;
Hoek, John van der
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 450-460
Persistent link: https://www.econbiz.de/10010235596
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2
Viterbi-based estimation for Markov switching GARCH model
Elliott, Robert J.
;
Lau, John W.
;
Miao, Hong
;
Siu, Tak Kuen
- In:
Applied mathematical finance
19
(
2012
)
3/4
,
pp. 219-231
Persistent link: https://www.econbiz.de/10009710984
Saved in:
3
Pricing volatility swaps under Heston's stochastic volatility model with regime switching
Elliott, Robert J.
;
Siu, Tak Kuen
;
Chan, Leunglung
- In:
Applied mathematical finance
14
(
2007
)
1
,
pp. 41-62
Persistent link: https://www.econbiz.de/10003542938
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