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Search: subject_exact:"Hidden Markov model"
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Elliott, Robert J.
47
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42
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39
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37
Siu, Tak Kuen
33
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29
Guidolin, Massimo
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Tsionas, Efthymios G.
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Zha, Tao
27
Bauwens, Luc
25
Lütkepohl, Helmut
24
Piger, Jeremy Max
24
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24
Sola, Martin
24
Kaufmann, Sylvia
23
Balbus, Lukasz
22
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22
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21
Chib, Siddhartha
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Cui, Zhenyu
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Rady, Sven
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Frühwirth-Schnatter, Sylvia
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Paap, Richard
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Ravazzolo, Francesco
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Leiva-Leon, Danilo
19
D'Amico, Guglielmo
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Dijk, Dick van
18
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Kamihigashi, Takashi
18
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17
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17
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116
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33
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ECONIS (ZBW)
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2401
Risk parity portfolio optimization under a Markov regime-switching framework
Costa, Giorgio
;
Kwon, Roy H.
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 453-471
Persistent link: https://www.econbiz.de/10012194664
Saved in:
2402
On pricing barrier control in a regime-switching regulated market
Han, Zheng
;
Hu, Yaozhong
;
Lee, Chihoon
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 491-499
Persistent link: https://www.econbiz.de/10012194669
Saved in:
2403
On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Rıza
;
Demos, Guilherme
;
Gupta, Rangan
; …
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 843-858
Persistent link: https://www.econbiz.de/10012194719
Saved in:
2404
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Wang, Chao
;
Chen, Qian
;
Gerlach, Richard
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 1017-1042
Persistent link: https://www.econbiz.de/10012194739
Saved in:
2405
Estimation of risk contributions with MCMC
Koike, Takaaki
;
Minami, Mihoko
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
Saved in:
2406
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia
;
Stübinger, Johannes
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819
Saved in:
2407
Approximation methods for piecewise deterministic Markov processes and their costs
Kritzer, Peter
;
Leobacher, Gunther
;
Szölgyenyi, Michaela
; …
- In:
Scandinavian actuarial journal
2019
(
2019
)
4
,
pp. 308-335
Persistent link: https://www.econbiz.de/10012194953
Saved in:
2408
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
Saved in:
2409
A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
Avram, Florin
;
Goreac, Dan
- In:
Scandinavian actuarial journal
2019
(
2019
)
9
,
pp. 799-823
Persistent link: https://www.econbiz.de/10012194999
Saved in:
2410
Bayesian testing for leverage effect in stochastic volatility models
Zhang, Jin-Yu
;
Chen, Zhong-Tian
;
Li, Yong
- In:
Computational economics
53
(
2019
)
3
,
pp. 1153-1164
Persistent link: https://www.econbiz.de/10012135124
Saved in:
2411
Modeling persistence and parameter instability in historical crude oil price data using a gibbs sampling approach
Nonejad, Nima
- In:
Computational economics
53
(
2019
)
4
,
pp. 1687-1710
Persistent link: https://www.econbiz.de/10012135601
Saved in:
2412
Contagion and bond pricing : the case of the ASEAN region
Abid, Ilyes
;
Dhaoui, Abderrazak
;
Goutte, Stéphane
; …
- In:
Research in international business and finance
47
(
2019
),
pp. 371-385
Persistent link: https://www.econbiz.de/10012135753
Saved in:
2413
Modelling volatility of cryptocurrencies using Markov-Switching GARCH models
Caporale, Guglielmo Maria
;
Zekokh, Timur
- In:
Research in international business and finance
48
(
2019
),
pp. 143-155
Persistent link: https://www.econbiz.de/10012135859
Saved in:
2414
The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets
Mili, Mehdi
- In:
Research in international business and finance
48
(
2019
),
pp. 187-200
Persistent link: https://www.econbiz.de/10012135869
Saved in:
2415
Distributionally robust Markovian traffic equilibrium
Ahipaşaoğlu, Selin Damla
;
Arıkan, Uğur
;
Natarajan, …
- In:
Transportation science : a journal of the Institute for …
53
(
2019
)
6
,
pp. 1546-1562
Persistent link: https://www.econbiz.de/10012136099
Saved in:
2416
Regime-switching in emerging market business cycles : interest rate volatility and sudden stops
Reyes-Heroles, Ricardo
;
Tenorio, Gabriel
- In:
Journal of international money and finance
93
(
2019
),
pp. 81-100
Persistent link: https://www.econbiz.de/10012138617
Saved in:
2417
Club convergence among the major Indian states during 1982-2014 : does investment in human capital matter?
Hembram, Sulekha
;
Maji, Souparna
;
Haldar, Sushil Kumar
- In:
South Asia economic journal : journal of the Institute …
20
(
2019
)
2
,
pp. 184-204
Persistent link: https://www.econbiz.de/10012139915
Saved in:
2418
Production control with price, cost, and demand uncertainty
Tan, Barış
- In:
OR spectrum : quantitative approaches in management
41
(
2019
)
4
,
pp. 1057-1085
Persistent link: https://www.econbiz.de/10012139975
Saved in:
2419
Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
Kasahara, Hiroyuki
;
Shimotsu, Katsumi
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 442-467
Persistent link: https://www.econbiz.de/10012145057
Saved in:
2420
A Markov decision model with dead ends for operating room planning considering dynamic patient priority
Zhang, Jian
;
Dridi, Mahjoub
;
ElMoudni, Abdellah
- In:
RAIRO / Operations research
53
(
2019
)
5
,
pp. 1819-1841
Persistent link: https://www.econbiz.de/10012146081
Saved in:
2421
Easy affine markov decision processes
Ning, Jie
;
Sobel, Matthew J.
- In:
Operations research
67
(
2019
)
6
,
pp. 1719-1737
Persistent link: https://www.econbiz.de/10012146925
Saved in:
2422
Decoding the Australian electricity market : New evidence from three-regime hidden semi-Markov model
Apergēs, Nikolaos
;
Gozgor, Giray
;
Lau, Chi Keung
; …
- In:
Energy economics
78
(
2019
),
pp. 129-142
Persistent link: https://www.econbiz.de/10012159895
Saved in:
2423
Bayesian estimation of stable CARMA spot models for electricity prices
Müller, Gernot
;
Seibert, Armin
- In:
Energy economics
78
(
2019
),
pp. 267-277
Persistent link: https://www.econbiz.de/10012159939
Saved in:
2424
Are Islamic bonds a good safe haven for stocks? : implications for portfolio management in a time-varying regime-switching copula framework
Shahzad, Syed Jawad Hussain
;
Aloui, Chaker
;
Jammazi, Rania
- In:
Applied economics
51
(
2019
)
3
,
pp. 219-238
Persistent link: https://www.econbiz.de/10012160482
Saved in:
2425
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
Saved in:
2426
Are advanced emerging market stock returns predictable? : a regime-switching forecast combination approach
Bahrami, Afsaneh
;
Shamsuddin, Abul
;
Uylangco, Katherine
- In:
Pacific-Basin finance journal
55
(
2019
),
pp. 142-160
Persistent link: https://www.econbiz.de/10012169521
Saved in:
2427
Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Bi, Junna
;
Liang, Zhibin
;
Yuen, Kam Chuen
- In:
Mathematical methods of operations research
90
(
2019
)
1
,
pp. 109-135
Persistent link: https://www.econbiz.de/10012116630
Saved in:
2428
Bayesian item response analysis of method-of-payment habits in banking surveys
Muthukumarana, Saman
;
Vincent, Kyle
;
Tichon, Jenna G.
- In:
Journal of mathematical finance
9
(
2019
)
1
,
pp. 1-10
Persistent link: https://www.econbiz.de/10012116653
Saved in:
2429
The demand for banking and shadow banking services
Serletis, Apostolos
;
Xu, Libo
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 132-146
Persistent link: https://www.econbiz.de/10012117824
Saved in:
2430
Markov decision processes with exogenous variables
Bray, Robert L.
- In:
Management science : journal of the Institute for …
65
(
2019
)
10
,
pp. 4598-4606
Persistent link: https://www.econbiz.de/10012118085
Saved in:
2431
Managing appointment booking under customer choices
Liu, Nan
;
Ven, Peter M. van de
;
Zhang, Bo
- In:
Management science : journal of the Institute for …
65
(
2019
)
9
,
pp. 4280-4298
Persistent link: https://www.econbiz.de/10012118564
Saved in:
2432
A partially observable Markov chain framework to estimate overdiagnosis risk in breast cancer screening : incorporating uncertainty in patients adherence behaviors
Molani, Sevda
;
Madadi, Mahboubeh
;
Wilkes, Wesley
- In:
Omega : the international journal of management science
89
(
2019
),
pp. 40-53
Persistent link: https://www.econbiz.de/10012118606
Saved in:
2433
"Level up" : leveraging skill and engagement to maximize player game-play in online video games
Huang, Yan
;
Jasin, Stefanus
;
Manchanda, Puneet
- In:
Information systems research : ISR
30
(
2019
)
3
,
pp. 927-947
Persistent link: https://www.econbiz.de/10012118902
Saved in:
2434
Ordinary and Markov-switching autoregressive models for firm-level underwriting data
Feng, Frank Y.
;
Powers, Michael R.
- In:
Asia-Pacific journal of risk and insurance : APJRI
13
(
2019
)
2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012120658
Saved in:
2435
Transition and limiting distributions when covariates are available
Tsionas, Efthymios G.
- In:
Economics letters
183
(
2019
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012122503
Saved in:
2436
A marked Cox model for the number of IBNR claims : estimation and application
Badescu, Andrei L.
;
Chen, Tianle
;
Lin, X. Sheldon
; …
- In:
Astin bulletin : the journal of the International …
49
(
2019
)
3
,
pp. 709-739
Persistent link: https://www.econbiz.de/10012125126
Saved in:
2437
A multi-fidelity rollout algorithm for dynamic resource allocation in population disease management
Ho, Ting-Yu
;
Liu, Shan
;
Zabinsky, Zelda B.
- In:
Health care management science
22
(
2019
)
4
,
pp. 727-755
Persistent link: https://www.econbiz.de/10012125600
Saved in:
2438
Sustainability of public debt : an analytical framework
Nayak, Rajbhushan J.
;
Pandit, Vishwanath
;
Parmanik, …
- In:
Artha vijñāna : journal of the Gokhale Institute of …
61
(
2019
)
3
,
pp. 239-260
Persistent link: https://www.econbiz.de/10012125786
Saved in:
2439
Bitcoin conditional volatility : GARCH extensions and Markov switching approach
Sosa, Miriam
;
Ortiz, Edgar
;
Cabello, Alejandra
-
2019
Persistent link: https://www.econbiz.de/10012126156
Saved in:
2440
Modelling and analysis of healthcare inventory management systems
Saha, Esha
;
Ray, Pradip K.
- In:
Opsearch : journal of the Operational Research Society …
56
(
2019
)
4
,
pp. 1179-1198
Persistent link: https://www.econbiz.de/10012126268
Saved in:
2441
The output Euler equation and real interest rate regimes
Pym Manopimoke
- In:
Macroeconomic dynamics
23
(
2019
)
1
,
pp. 420-447
Persistent link: https://www.econbiz.de/10012126578
Saved in:
2442
Exploring the dynamics of business survey data using Markov models
Hölzl, Werner
;
Kaniovski, Serguei
;
Kaniovski, Yuri M.
- In:
Computational Management Science : CMS
16
(
2019
)
4
,
pp. 621-649
Persistent link: https://www.econbiz.de/10012126681
Saved in:
2443
Optimal execution with regime-switching market resilience
Siu, Chi Chung
;
Guo, Ivan
;
Zhu, Song-Ping
;
Elliott, …
- In:
Journal of economic dynamics & control
101
(
2019
),
pp. 17-40
Persistent link: https://www.econbiz.de/10012131017
Saved in:
2444
Full-information best choice game with hint
Skarupski, Marek
- In:
Mathematical methods of operations research
90
(
2019
)
2
,
pp. 153-168
Persistent link: https://www.econbiz.de/10012132706
Saved in:
2445
Finite horizon risk-sensitive continuous-time Markov decision processes with unbounded transition and cost rates
Guo, Xin
;
Liu, Qiuli
;
Zhang, Yi
- In:
4OR : a quarterly journal of operations research
17
(
2019
)
4
,
pp. 427-442
Persistent link: https://www.econbiz.de/10012132940
Saved in:
2446
How do the Renminbi and other East Asian currencies co-move?
Keddad, Benjamin
- In:
Journal of international money and finance
91
(
2019
),
pp. 49-70
Persistent link: https://www.econbiz.de/10012134009
Saved in:
2447
Approximating the solution of stochastic optimal control problems and the Merton's portfolio selection model
Kafash, Behzad
- In:
Computational economics
54
(
2019
)
2
,
pp. 763-782
Persistent link: https://www.econbiz.de/10012134353
Saved in:
2448
Computing the bargaining approach for equalizing the ratios of maximal gains in continuous-time Markov chains games
Trejo, Kristal K.
;
Clempner, Julio B.
;
Poznjak, Aleksandr S.
- In:
Computational economics
54
(
2019
)
3
,
pp. 933-955
Persistent link: https://www.econbiz.de/10012134483
Saved in:
2449
On the numerical solution of Mertonian control problems : a survey of the markov chain approximation method for the working economist
Ellersgaard, Simon
- In:
Computational economics
54
(
2019
)
3
,
pp. 1179-1211
Persistent link: https://www.econbiz.de/10012134515
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2450
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
Saved in:
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