State-Space Models
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15

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Published By Springer New York

9781461477884, 9781461477891

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

Hong Kong Inflation Dynamics: Trend and Cycle Relationships with the USA and China

State-Space Models ◽

10.1007/978-1-4614-7789-1_5 ◽

2013 ◽

pp. 113-132

Author(s):

Pym Manopimoke

Keyword(s):

Hong Kong ◽

Inflation Dynamics ◽

The Usa

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

State-Space Models ◽

10.1007/978-1-4614-7789-1_13 ◽

2013 ◽

pp. 279-309

Author(s):

Yoonjung Lee

Keyword(s):

Asymmetric Information ◽

High Frequency ◽

Nonlinear Filtering ◽

Information Modeling ◽

Modeling Framework ◽

Transaction Data ◽

Ultra High Frequency ◽

Filtering Approach

A HMM Intensity-Based Credit Risk Model and Filtering

State-Space Models ◽

10.1007/978-1-4614-7789-1_8 ◽

2013 ◽

pp. 169-184 ◽

Cited By ~ 1

Author(s):

Robert J. Elliott ◽

Tak Kuen Siu

Keyword(s):

Credit Risk ◽

Risk Model ◽

Credit Risk Model

A Survey of Implicit Particle Filters for Data Assimilation

State-Space Models ◽

10.1007/978-1-4614-7789-1_3 ◽

2013 ◽

pp. 63-88 ◽

Cited By ~ 8

Author(s):

Alexandre J. Chorin ◽

Matthias Morzfeld ◽

Xuemin Tu

Keyword(s):

Data Assimilation ◽

Particle Filters

Trading a Mean-Reverting Asset with Regime Switching: An Asymptotic Approach

State-Space Models ◽

10.1007/978-1-4614-7789-1_11 ◽

2013 ◽

pp. 227-245

Author(s):

Eunju Sohn ◽

Qing Zhang

Keyword(s):

Regime Switching ◽

Asymptotic Approach

The State Space Representation and Estimation of a Time-Varying Parameter VAR with Stochastic Volatility

State-Space Models ◽

10.1007/978-1-4614-7789-1_6 ◽

2013 ◽

pp. 133-145

Author(s):

Taeyoung Doh ◽

Michael Connolly

Keyword(s):

State Space ◽

Stochastic Volatility ◽

The State ◽

Space Representation ◽

Time Varying ◽

State Space Representation ◽

Time Varying Parameter

Parameter Estimation via Particle MCMC for Ultra-High Frequency Models

State-Space Models ◽

10.1007/978-1-4614-7789-1_15 ◽

2013 ◽

pp. 321-344

Author(s):

Cai Zhu ◽

Jian Hui Huang

Keyword(s):

Parameter Estimation ◽

High Frequency ◽

Ultra High Frequency ◽

Particle Mcmc

Yield Curve Modelling Using a Multivariate Higher-Order HMM

State-Space Models ◽

10.1007/978-1-4614-7789-1_9 ◽

2013 ◽

pp. 185-203 ◽

Cited By ~ 2

Author(s):

Xiaojing Xi ◽

Rogemar Mamon

Keyword(s):

Yield Curve ◽

Higher Order

The Extended Liu and West Filter: Parameter Learning in Markov Switching Stochastic Volatility Models

State-Space Models ◽

10.1007/978-1-4614-7789-1_2 ◽

2013 ◽

pp. 23-61 ◽

Cited By ~ 7

Author(s):

Maria Paula Rios ◽

Hedibert Freitas Lopes

Keyword(s):

Stochastic Volatility ◽

Markov Switching ◽

Parameter Learning ◽

Stochastic Volatility Models ◽

Filter Parameter ◽

Volatility Models

Heterogenous Autoregressive Realized Volatility Model

State-Space Models ◽

10.1007/978-1-4614-7789-1_14 ◽

2013 ◽

pp. 311-320

Author(s):

Yazhen Wang ◽

Xin Zhang

Keyword(s):

Realized Volatility ◽

Volatility Model