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State-space models : applications in economics and finance

著者: Yong Zeng; Shu Wu
出版商: New York : Springer, [2013] ©2013
丛书: Statistics and econometrics for finance.
版本/格式:   电子图书 : 文献 : 英语查看所有的版本和格式
数据库:WorldCat
提要:
State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear andnon-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or  再读一些...
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类型/形式: Electronic books
附加的形体格式: Print version:
State-space models
(OCoLC)841495241
材料类型: 文献, 互联网资源
文件类型: 互联网资源, 计算机文档
所有的著者/提供者: Yong Zeng; Shu Wu
ISBN: 9781461477891 1461477891
OCLC号码: 858626314
描述: 1 online resource (xxi, 347 pages).
内容: Particle Filtering and Parameter Learning in Nonlinear State-Space Models. Adaptive Filtering, Nonlinear State-Space Models, and Applications in Finance and Econometrics / Tze Leung Lai and Vibhav Bukkapatanam --
The Extended Liu and West Filter: Parameter Learning in Markov Switching Stochastic Volatility Models / Maria Paula Rios and Hedibert Freitas Lopes --
A Survey of Implicit Particle Filters for Data Assimilation / Alexandre J. Chorin, Matthias Morzfeld, and Xuemin Tu --
Linear State-Space Models in Macroeconomics and Finance. Model Uncertainty, State Uncertainty, and State-Space Models / Yulei Luo, Jun Nie, and Eric R. Young --
Hong Kong Inflation Dynamics: Trend and Cycle Relationships with the USA and China / Pym Manopimoke --
The State Space Representation and Estimation of a Time-Varying Parameter VAR with Stochastic Volatility / Taeyoung Doh and Michael Connolly --
A Statistical Investigation of Stock Return Decomposition Based on the State-Space Framework / Jun Ma and Mark E. Wohar --
Hidden Markov Models, Regime-Switching, and Mathematical Finance. A HMM Intensity-Based Credit Risk Model and Filtering / Robert J. Elliott and Tak Kuen Siu --
Yield Curve Modelling Using a Multivariate Higher-Order HMM / Xiaojing Xi and Rogemar Mamon --
Numerical Methods for Optimal Annuity Purchasing and Dividend Optimization Strategies under Regime-Switching Models: Review of Recent Results / Zhuo Jin and George Yin --
Trading a Mean-Reverting Asset with Regime Switching: An Asymptotic Approach / Eunju Sohn and Qing Zhang --
CPPI in the Jump-Diffusion Model / Mingming Wang and Allanus Tsoi --
Nonlinear State-Space Models for High Frequency Financial Data. An Asymmetric Information Modeling Framework for Ultra-High Frequency Transaction Data: A Nonlinear Filtering Approach / Yoonjung Lee --
Heterogenous Autoregressive Realized Volatility Model / Yazhen Wang and Xin Zhang --
Parameter Estimation via Particle MCMC for Ultra-High Frequency Models / Cai Zhu and Jian Hui Huang.
丛书名: Statistics and econometrics for finance.
责任: Yong Zeng, Shu Wu, editors.
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From the book reviews: "The intention of this edited volume is to provide methodological development in state-space models, as well as study their applications, particularly in economics and finance. 再读一些...

 
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