Coverart for item
The Resource State-space models : applications in economics and finance, Yong Zeng, Shu Wu, editors

State-space models : applications in economics and finance, Yong Zeng, Shu Wu, editors

Label
State-space models : applications in economics and finance
Title
State-space models
Title remainder
applications in economics and finance
Statement of responsibility
Yong Zeng, Shu Wu, editors
Contributor
Editor
Subject
Language
eng
Summary
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 irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuseson the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals
Member of
Is part of
Cataloging source
GW5XE
Dewey number
003
Index
index present
Language note
English
LC call number
QA402
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1966-
http://library.link/vocab/relatedWorkOrContributorName
  • Zeng, Yong
  • Wu, Shu
Series statement
Statistics and econometrics for finance
http://library.link/vocab/subjectName
  • State-space methods
  • Economics
  • Finance
  • SCIENCE
  • TECHNOLOGY & ENGINEERING
  • Economics
  • Finance
  • State-space methods
Label
State-space models : applications in economics and finance, Yong Zeng, Shu Wu, editors
Instantiates
Publication
Copyright
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • 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
  • Particle Filtering and Parameter Learning in Nonlinear State-Space Models.
  • 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.
  • Adaptive Filtering, Nonlinear State-Space Models, and Applications in Finance and Econometrics
  • 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
  • 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.
Control code
858626314
Dimensions
unknown
Extent
1 online resource (xxi, 347 pages).
File format
unknown
Form of item
online
Isbn
9781461477891
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-1-4614-7789-1
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)858626314
Label
State-space models : applications in economics and finance, Yong Zeng, Shu Wu, editors
Publication
Copyright
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • 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
  • Particle Filtering and Parameter Learning in Nonlinear State-Space Models.
  • 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.
  • Adaptive Filtering, Nonlinear State-Space Models, and Applications in Finance and Econometrics
  • 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
  • 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.
Control code
858626314
Dimensions
unknown
Extent
1 online resource (xxi, 347 pages).
File format
unknown
Form of item
online
Isbn
9781461477891
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-1-4614-7789-1
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)858626314

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