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Zeng, Yong

State-Space Models

Zeng, Yong - State-Space Models, ebook

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ISBN: 9781461477891
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Table of contents

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

Author(s)
 
Publisher
Springer
Publication year
2013
Language
en
Edition
2013
Series
Statistics and Econometrics for Finance
Page amount
21 pages
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9781461477891

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