Search Results - subject:"EM algorithm"

Movers and Stayers in the Farming Sector: Accounting for Unobserved Heterogeneity in Structural Change

Saint-Cyr, Legrand D.F.; Piet, Laurent - Agricultural Economics Society - AES - 2015

-maximization (EM) algorithm. This modeling framework relaxes the assumption of homogeneity in the transition process which grounds the …

Persistent link: https://www.econbiz.de/10011275775

Estimating rational stock-market bubbles with sequential Monte Carlo methods

Rotermann, Benedikt; Wilfling, Bernd - Center for Quantitative Economics (CQE), … - 2015

In the context of the present-value stock-price model, we propose a new rational parametric bubble specification that is able to generate periodically recurring and stochastically deflating trajectories. Our bubble model is empirically more plausible than its predecessor variants and has neatly...

Persistent link: https://www.econbiz.de/10011277250

On modeling left-truncated loss data using mixtures of distributions

Blostein, Martin; Miljkovic, Tatjana - In: Insurance / Mathematics & economics 85 (2019), pp. 35-46

Persistent link: https://www.econbiz.de/10011990594

An extended likelihood framework for modelling discretely observed credit rating transitions

Pfeuffer, Marius; Möstel, Linda; Fischer, Matthias - In: Quantitative finance 19 (2019) 1, pp. 93-104

Persistent link: https://www.econbiz.de/10012194622

The endo-exo problem in high frequency financial price fluctuations and rejecting criticality

Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 19 (2019) 7, pp. 1165-1178

Persistent link: https://www.econbiz.de/10012194752

Multivariate Cox Hidden Markov models with an application to operational risk

Fung, Tsz Chai; Badescu, Andrei L.; Lin, X. Sheldon - In: Scandinavian actuarial journal 2019 (2019) 8, pp. 686-710

Persistent link: https://www.econbiz.de/10012194991

Modeling credit risk with hidden Markov default intensity

Yu, Feng-Hui; Lu, Jiejun; Gu, Jia-Wen; Ching, Wai Ki - In: Computational economics 54 (2019) 3, pp. 1213-1229

Persistent link: https://www.econbiz.de/10012134519

Estimating the probability of a non-Markovian rating transition from partially unobserved histories

Weißbach, Rafael; Schmal, Friederike - In: Journal of risk management in financial institutions 12 (2018/2019) 3, pp. 256-267

Persistent link: https://www.econbiz.de/10012064759

Aggregate claim estimation using bivariate Hidden Markov Model

Oflaz, Zarina Nukeshtayeva; Yozgatligil, Ceylan; … - In: Astin bulletin : the journal of the International … 49 (2019) 1, pp. 189-215

Persistent link: https://www.econbiz.de/10012105441

Pricing S&P500 barrier put option of American type under Heston-CIR model with regime-switching

Mehrdoust, Farshid; Noorani, Idin - In: International journal of financial engineering 6 (2019) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10012167493