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Issue Date
Title
Author(s)
2005
Parameter estimation for a regime-switching mean-reverting model with jumps
Wu, P.
;
Elliott, R.
2012
Filtering a nonlinear stochastic volatility model
Elliott, R.
;
Siu, T.
;
Fung, E.
2011
On filtering and estimation of a threshold stochastic volatility model
Elliott, R.
;
Liew, C.
;
Siu, T.
2010
On mean-variance portfolio selection under a hidden Markovian regime-switching model
Elliott, R.
;
Siu, T.
;
Badescu, A.
2003
Robust parameter estimation for asset price models with Markov modulated volatilities
Elliott, R.
;
Malcolm, W.
;
Tsoi, A.
2008
A non-linear filter
Elliott, R.
;
Leung, H.
;
Deng, J.
2009
Insurance claims modulated by a hidden Brownian marked point process
Elliott, R.
;
Chen, Z.
;
Duan, Q.
Discover
Author
7
Elliott, R.
3
Siu, T.
1
Badescu, A.
1
Chen, Z.
1
Deng, J.
1
Duan, Q.
1
Fung, E.
1
Leung, H.
1
Liew, C.
1
Malcolm, W.
.
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Subject
2
Change of measures
2
EM algorithm
2
Stochastic volatility
1
Bayes' rule
1
Brownian motion
1
Economic cycles
1
Filtering
1
filtering equations
1
Forwards and backwards Duncan–Mor...
1
Gauge transformation
.
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