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Author : Lung-Fei Lee
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (318 download)
Download or read book A Basic Recursion for Markov Switching Models written by Lung-Fei Lee and published by . This book was released on 1995 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sylvia Frühwirth-Schnatter
Publisher : Springer Science & Business Media
ISBN 13 : 0387357688
Total Pages : 506 pages
Book Rating : 4.3/5 (873 download)
Download or read book Finite Mixture and Markov Switching Models written by Sylvia Frühwirth-Schnatter and published by Springer Science & Business Media. This book was released on 2006-11-24 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past decade has seen powerful new computational tools for modeling which combine a Bayesian approach with recent Monte simulation techniques based on Markov chains. This book is the first to offer a systematic presentation of the Bayesian perspective of finite mixture modelling. The book is designed to show finite mixture and Markov switching models are formulated, what structures they imply on the data, their potential uses, and how they are estimated. Presenting its concepts informally without sacrificing mathematical correctness, it will serve a wide readership including statisticians as well as biologists, economists, engineers, financial and market researchers.
Author : James D. Hamilton
Publisher : Springer Science & Business Media
ISBN 13 : 3642511821
Total Pages : 267 pages
Book Rating : 4.6/5 (425 download)
Download or read book Advances in Markov-Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
Author : Susanne Graf
Publisher : Springer Science & Business Media
ISBN 13 : 3540472371
Total Pages : 551 pages
Book Rating : 4.5/5 (44 download)
Download or read book Automated Technology for Verification and Analysis written by Susanne Graf and published by Springer Science & Business Media. This book was released on 2006-10-10 with total page 551 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the Third International Symposium on Automated Technology for Verification and Analysis, ATVA 2006, held in Beijing, China in October 2006. The 35 revised full papers presented together with abstracts of three keynote papers were carefully reviewed and selected from 137 submissions.
Author : Demetres D. Kouvatsos
Publisher : River Publishers
ISBN 13 : 8792329187
Total Pages : 489 pages
Book Rating : 4.7/5 (923 download)
Download or read book Performance Modelling and Analysis of Heterogeneous Networks written by Demetres D. Kouvatsos and published by River Publishers. This book was released on 2009-02-15 with total page 489 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains extended research papers, which have their roots in the series of the HET-NETs International Working Conferences focusing on the 'Performance Modelling and Evaluation of Heterogeneous Networks' under the auspices of the EU Networks of Excellence Euro-NGI and Euro-FGI.
Author : Pierre Del Moral
Publisher : Springer Science & Business Media
ISBN 13 : 1468493930
Total Pages : 567 pages
Book Rating : 4.4/5 (684 download)
Download or read book Feynman-Kac Formulae written by Pierre Del Moral and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 567 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text takes readers in a clear and progressive format from simple to recent and advanced topics in pure and applied probability such as contraction and annealed properties of non-linear semi-groups, functional entropy inequalities, empirical process convergence, increasing propagations of chaos, central limit, and Berry Esseen type theorems as well as large deviation principles for strong topologies on path-distribution spaces. Topics also include a body of powerful branching and interacting particle methods.
Author : Pierre Del Moral
Publisher : CRC Press
ISBN 13 : 1498701841
Total Pages : 866 pages
Book Rating : 4.4/5 (987 download)
Download or read book Stochastic Processes written by Pierre Del Moral and published by CRC Press. This book was released on 2017-02-24 with total page 866 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike traditional books presenting stochastic processes in an academic way, this book includes concrete applications that students will find interesting such as gambling, finance, physics, signal processing, statistics, fractals, and biology. Written with an important illustrated guide in the beginning, it contains many illustrations, photos and pictures, along with several website links. Computational tools such as simulation and Monte Carlo methods are included as well as complete toolboxes for both traditional and new computational techniques.
Author : K.B. Misra
Publisher : Elsevier
ISBN 13 : 0444598154
Total Pages : 907 pages
Book Rating : 4.4/5 (445 download)
Download or read book Reliability Analysis and Prediction written by K.B. Misra and published by Elsevier. This book was released on 2012-12-02 with total page 907 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book equips the reader with a compact information source on all the most recent methodological tools available in the area of reliability prediction and analysis. Topics covered include reliability mathematics, organisation and analysis of data, reliability modelling and system reliability evaluation techniques. Environmental factors and stresses are taken into account in computing the reliability of the involved components. The limitations of models, methods, procedures, algorithms and programmes are outlined. The treatment of maintained systems is designed to aid the worker in analysing systems with more realistic and practical assumptions. Fault tree analysis is also extensively discussed, incorporating recent developments. Examples and illustrations support the reader in the solving of problems in his own area of research. The chapters provide a logical and graded presentation of the subject matter bearing in mind the difficulties of a beginner, whilst bridging the information gap for the more experienced reader. The work will be of considerable interest to engineers working in various industries, research organizations, particularly in defence, nuclear, chemical, space or communications. It will also be an indispensable study aid for serious-minded students and teachers.
Author : Dimitrios Vlachos
Publisher : Springer Nature
ISBN 13 : 3031529650
Total Pages : 681 pages
Book Rating : 4.0/5 (315 download)
Download or read book Mathematical Modeling in Physical Sciences written by Dimitrios Vlachos and published by Springer Nature. This book was released on with total page 681 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher : ScholarlyEditions
ISBN 13 : 146496646X
Total Pages : 600 pages
Book Rating : 4.4/5 (649 download)
Download or read book Issues in Finance, Business, and Economics Research: 2011 Edition written by and published by ScholarlyEditions. This book was released on 2012-01-09 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Finance, Business, and Economics Research: 2011 Edition is a ScholarlyEditions™ eBook that delivers timely, authoritative, and comprehensive information about Finance, Business, and Economics Research. The editors have built Issues in Finance, Business, and Economics Research: 2011 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Finance, Business, and Economics Research in this eBook to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Finance, Business, and Economics Research: 2011 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.
Author : Michael Koller
Publisher : Springer Science & Business Media
ISBN 13 : 3642284388
Total Pages : 222 pages
Book Rating : 4.6/5 (422 download)
Download or read book Stochastic Models in Life Insurance written by Michael Koller and published by Springer Science & Business Media. This book was released on 2012-03-23 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book provides a sound mathematical base for life insurance mathematics and applies the underlying concepts to concrete examples. Moreover the models presented make it possible to model life insurance policies by means of Markov chains. Two chapters covering ALM and abstract valuation concepts on the background of Solvency II complete this volume. Numerous examples and a parallel treatment of discrete and continuous approaches help the reader to implement the theory directly in practice.
Author : Luc Bauwens
Publisher : John Wiley & Sons
ISBN 13 : 1118272056
Total Pages : 566 pages
Book Rating : 4.1/5 (182 download)
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Author : Marco Gribaudo
Publisher : Springer
ISBN 13 : 3319185799
Total Pages : 227 pages
Book Rating : 4.3/5 (191 download)
Download or read book Analytical and Stochastic Modelling Techniques and Applications written by Marco Gribaudo and published by Springer. This book was released on 2015-05-22 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 22nd International Conference on Analytical and Stochastic Modelling Techniques and Applications, ASMTA 2015, held in Albena, Bulgaria, in May 2015. The 15 full papers presented in this book were carefully reviewed and selected from numerous submissions. The papers discuss the latest developments in analytical, numerical and simulation algorithms for stochastic systems, including Markov processes, queueing networks, stochastic Petri nets, process algebras, game theory, etc.
Author : Graham Elliott
Publisher : Newnes
ISBN 13 : 0444536841
Total Pages : 719 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Newnes. This book was released on 2013-08-23 with total page 719 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics
Author : Walter Zucchini
Publisher : CRC Press
ISBN 13 : 1420010891
Total Pages : 298 pages
Book Rating : 4.4/5 (2 download)
Download or read book Hidden Markov Models for Time Series written by Walter Zucchini and published by CRC Press. This book was released on 2009-04-28 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reveals How HMMs Can Be Used as General-Purpose Time Series Models Implements all methods in R Hidden Markov Models for Time Series: An Introduction Using R applies hidden Markov models (HMMs) to a wide range of time series types, from continuous-valued, circular, and multivariate series to binary data, bounded and unbounded counts, and categorical observations. It also discusses how to employ the freely available computing environment R to carry out computations for parameter estimation, model selection and checking, decoding, and forecasting. Illustrates the methodology in action After presenting the simple Poisson HMM, the book covers estimation, forecasting, decoding, prediction, model selection, and Bayesian inference. Through examples and applications, the authors describe how to extend and generalize the basic model so it can be applied in a rich variety of situations. They also provide R code for some of the examples, enabling the use of the codes in similar applications. Effectively interpret data using HMMs This book illustrates the wonderful flexibility of HMMs as general-purpose models for time series data. It provides a broad understanding of the models and their uses.
Author : Donatien Hainaut
Publisher : Springer Nature
ISBN 13 : 3031063619
Total Pages : 359 pages
Book Rating : 4.0/5 (31 download)
Download or read book Continuous Time Processes for Finance written by Donatien Hainaut and published by Springer Nature. This book was released on 2022-08-25 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often neglected in the existing mathematical finance literature while it is crucial for risk management. The first part of this book focuses on switching regime processes that allow to model economic cycles in financial markets. After a presentation of their mathematical features and applications to stocks and interest rates, the estimation with the Hamilton filter and Markov Chain Monte-Carlo algorithm (MCMC) is detailed. A second part focuses on self-excited processes for modeling the clustering of shocks in financial markets. These processes recently receive a lot of attention from researchers and we focus here on its econometric estimation and its simulation. A chapter is dedicated to estimation of stochastic volatility models. Two chapters are dedicated to the fractional Brownian motion and Gaussian fields. After a summary of their features, we present applications for stock and interest rate modeling. Two chapters focuses on sub-diffusions that allows to replicate illiquidity in financial markets. This book targets undergraduate students who have followed a first course of stochastic finance and practitioners as quantitative analyst or actuaries working in risk management.
Author : Michael Butler
Publisher : Springer
ISBN 13 : 3319254235
Total Pages : 457 pages
Book Rating : 4.3/5 (192 download)
Download or read book Formal Methods and Software Engineering written by Michael Butler and published by Springer. This book was released on 2015-11-30 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 17th International Conference on Formal Engineering Methods, ICFEM 2015, held in Paris, France, in November 2015. The 27 revised full papers presented were carefully reviewed and selected from 82 submissions. The papers cover a wide range of topics in the area of formal methods and software engineering and are devoted to advancing the state of the art of applying formal methods in practice. They focus in particular on combinations of conceptual and methodological aspects with their formal foundation and tool support.
