Hidden Markov Models in Finance - International Series in Operations Research & Management Science
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Published By Springer US

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An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/0-387-71163-5_9 ◽

2007 ◽

pp. 133-153

Author(s):

Emilio Russo ◽

Fabio Spagnolo ◽

Rogemar Mamon

Keyword(s):

Exchange Rate ◽

Regime Switching ◽

Empirical Investigation

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An Exact Solution of the Term Structure of Interest Rate Under Regime-Switching Risk

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/0-387-71163-5_1 ◽

2007 ◽

pp. 1-14 ◽

Cited By ~ 1

Author(s):

Shu Wu ◽

Yong Zeng

Keyword(s):

Exact Solution ◽

Interest Rate ◽

Term Structure ◽

Regime Switching

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Filtering of a Partially Observed Inventory System

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/0-387-71163-5_8 ◽

2007 ◽

pp. 121-132

Author(s):

Lakhdar Aggoun

Keyword(s):

Inventory System ◽

Partially Observed

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The Term Structure of Interest Rates in a Hidden Markov Setting

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/0-387-71163-5_2 ◽

2007 ◽

pp. 15-30 ◽

Cited By ~ 10

Author(s):

Robert J. Elliott ◽

Craig A. Wilson

Keyword(s):

Interest Rates ◽

Term Structure ◽

Hidden Markov

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Expected Shortfall Under a Model With Market and Credit Risks

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/0-387-71163-5_6 ◽

2007 ◽

pp. 91-100 ◽

Cited By ~ 1

Author(s):

Kin Bong Siu ◽

Hailiang Yang

Keyword(s):

Expected Shortfall ◽

Credit Risks

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Early Warning Systems for Currency Crises: A Regime-Switching Approach

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/0-387-71163-5_10 ◽

2007 ◽

pp. 155-184 ◽

Cited By ~ 5

Author(s):

Abdul Abiad

Keyword(s):

Early Warning ◽

Regime Switching ◽

Currency Crises ◽

Early Warning Systems ◽

Warning Systems

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Filtering of Hidden Weak Markov Chain -Discrete Range Observations

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/0-387-71163-5_7 ◽

2007 ◽

pp. 101-119 ◽

Cited By ~ 1

Author(s):

Shangzhen Luo ◽

Allanus H. Tsoi

Keyword(s):

Markov Chain

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On Fair Valuation of Participating Life Insurance Policies With Regime Switching

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/0-387-71163-5_3 ◽

2007 ◽

pp. 31-43

Author(s):

Tak Kuen Siu

Keyword(s):

Life Insurance ◽

Regime Switching ◽

Insurance Policies ◽

Fair Valuation

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Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/0-387-71163-5_5 ◽

2007 ◽

pp. 69-90 ◽

Cited By ~ 1

Author(s):

Małgorzata W. Korolkiewicz ◽

Robert J. Elliott

Keyword(s):

Parameter Estimation ◽

Markov Model ◽

Hidden Markov Model ◽

Hidden Markov ◽

Credit Quality

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Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/0-387-71163-5_4 ◽

2007 ◽

pp. 45-68 ◽

Cited By ~ 15

Author(s):

Robert J. Elliott ◽

Anatoliy V. Swishchuk

Keyword(s):

Variance Swaps ◽

Pricing Options ◽

Markov Modulated

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Hidden Markov Models in Finance - International Series in Operations Research & Management ScienceLatest Publications

TOTAL DOCUMENTS

H-INDEX

Published By Springer US

An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market

An Exact Solution of the Term Structure of Interest Rate Under Regime-Switching Risk

Filtering of a Partially Observed Inventory System

The Term Structure of Interest Rates in a Hidden Markov Setting

Expected Shortfall Under a Model With Market and Credit Risks

Early Warning Systems for Currency Crises: A Regime-Switching Approach

Filtering of Hidden Weak Markov Chain -Discrete Range Observations

On Fair Valuation of Participating Life Insurance Policies With Regime Switching

Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality

Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets

Hidden Markov Models in Finance - International Series in Operations Research & Management Science
Latest Publications