State-Space Models

Part I. Particle Filtering and Parameter Learning in Nonlinear State-Space Models

1. Adaptive Filtering, Nonlinear State-Space Models, and Applications in Finance and Econometrics
Tze Leung Lai, Vibhav Bukkapatanam

2. The Extended Liu and West Filter: Parameter Learning in Markov Switching Stochastic Volatility Models
Maria Paula Rios, Hedibert Freitas Lopes

3. A Survey of Implicit Particle Filters for Data Assimilation
Alexandre J. Chorin, Matthias Morzfeld, Xuemin Tu

Part II. Linear State-Space Models in Macroeconomics and Finance

4. Model Uncertainty, State Uncertainty, and State-Space Models
Yulei Luo, Jun Nie, Eric R. Young

5. Hong Kong Inflation Dynamics: Trend and Cycle Relationships with the USA and China
Pym Manopimoke

6. The State Space Representation and Estimation of a Time-Varying Parameter VAR with Stochastic Volatility
Taeyoung Doh, Michael Connolly

7. A Statistical Investigation of Stock Return Decomposition Based on the State-Space Framework
Jun Ma, Mark E. Wohar

Part III. Hidden Markov Models, Regime-Switching, and Mathematical Finance

8. A HMM Intensity-Based Credit Risk Model and Filtering
Robert J. Elliott, Tak Kuen Siu

9. Yield Curve Modelling Using a Multivariate Higher-Order HMM
Xiaojing Xi, Rogemar Mamon

10. Numerical Methods for Optimal Annuity Purchasing and Dividend Optimization Strategies under Regime-Switching Models: Review of Recent Results
Zhuo Jin, George Yin

11. Trading a Mean-Reverting Asset with Regime Switching: An Asymptotic Approach
Eunju Sohn, Qing Zhang

12. CPPI in the Jump-Diffusion Model
Mingming Wang, Allanus Tsoi

Part IV. Nonlinear State-Space Models for High Frequency Financial Data

13. An Asymmetric Information Modeling Framework for Ultra-High Frequency Transaction Data: A Nonlinear Filtering Approach
Yoonjung Lee

14. Heterogenous Autoregressive Realized Volatility Model
Yazhen Wang, Xin Zhang

15. Parameter Estimation via Particle MCMC for Ultra-High Frequency Models
Cai Zhu, Jian Hui Huang

Keywords: Statistics, Statistics for Business/Economics/Mathematical Finance/Insurance, Statistical Theory and Methods