Zeng, Yong
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
Avainsanat: Statistics, Statistics for Business/Economics/Mathematical Finance/Insurance, Statistical Theory and Methods
- Tekijä(t)
- Zeng, Yong
- Wu, Shu
- Julkaisija
- Springer
- Julkaisuvuosi
- 2013
- Kieli
- en
- Painos
- 2013
- Sarja
- Statistics and Econometrics for Finance
- Sivumäärä
- 21 sivua
- Kategoria
- Eksaktit luonnontieteet
- Tiedostomuoto
- E-kirja
- eISBN (PDF)
- 9781461477891