Search Results - subject:"Markov Chain approximation"

A general characterization of one factor affine term structure models

Filipović, Damir - In: Finance and stochastics 5 (2001) 3, pp. 389-412

Persistent link: https://www.econbiz.de/10001599299

Financial signal processing : a self calibrating model

Elliott, Robert J.; Hunter, William Curt; Jamieson, … - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 567-584

Persistent link: https://www.econbiz.de/10001600343

Existence of adaptively stable sunspot equilibria near an indeterminate steady state

Evans, George W.; Honkapohja, Seppo - 2001

We examine a certain nonlinear model. Markov SSEs exist near an indeterminate steady state. ... We show that there exist Markov SSEs, that are E-stable, and therefore locally stable under adaptive learning, ...

Persistent link: https://www.econbiz.de/10001601230

MCMC analysis of diffusion models with appliction to finance

Eraker, Bjørn - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 2, pp. 177-191

Persistent link: https://www.econbiz.de/10001568816

Factor ARMA representation of a Markov process

Darolles, Serge; Florens, Jean-Pierre; Gouriéroux, … - In: Economics letters 71 (2001) 2, pp. 165-171

Persistent link: https://www.econbiz.de/10001569098

Time-series model with periodic stochastic regime switching: Part 2 : Applications to 16th- and 17th-century grain prices

Bac, Catherine; Chevet, Jean-Michel; Ghysels, Eric - In: Macroeconomic dynamics 5 (2001) 1, pp. 21-55

Persistent link: https://www.econbiz.de/10001570829

International evidence on the asymmetry of business cycle turning points

Kontolemēs, Zēnōn G. - In: The Manchester School 69 (2001) 3, pp. 310-326

Persistent link: https://www.econbiz.de/10001573342

A new turning point signalling system using the Markov switching model with application to Japan, the USA and Australia

Layton, Allan P.; Katsuura, Masaki - In: Applied economics 33 (2001) 1, pp. 59-70

Persistent link: https://www.econbiz.de/10001545994

Can Markov switching models replicate chartist profits in the foreign exchange market?

Dewachter, Hans - In: Journal of international money and finance 20 (2001) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10001546107

The trading profitability of forecasts of the gilt-equity yield ratio

Brooks, Chris; Persand, Gita - In: International journal of forecasting 17 (2001) 1, pp. 11-29

Persistent link: https://www.econbiz.de/10001549772

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