State-Space Models

Applications in Economics and Finance

Editors:

ISBN: 978-1-4614-7788-4 (Print) 978-1-4614-7789-1 (Online)

Table of contents (15 chapters)

  1. Front Matter

    Pages i-xxi

  2. Particle Filtering and Parameter Learning in Nonlinear State-Space Models

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-22

      Adaptive Filtering, Nonlinear State-Space Models, and Applications in Finance and Econometrics

    3. No Access

      Book Chapter

      Pages 23-61

      The Extended Liu and West Filter: Parameter Learning in Markov Switching Stochastic Volatility Models

    4. No Access

      Book Chapter

      Pages 63-88

      A Survey of Implicit Particle Filters for Data Assimilation

  3. Linear State-Space Models in Macroeconomics and Finance

    1. Front Matter

      Pages 89-89

    2. No Access

      Book Chapter

      Pages 91-112

      Model Uncertainty, State Uncertainty, and State-Space Models

    3. No Access

      Book Chapter

      Pages 113-132

      Hong Kong Inflation Dynamics: Trend and Cycle Relationships with the USA and China

    4. No Access

      Book Chapter

      Pages 133-145

      The State Space Representation and Estimation of a Time-Varying Parameter VAR with Stochastic Volatility

    5. No Access

      Book Chapter

      Pages 147-165

      A Statistical Investigation of Stock Return Decomposition Based on the State-Space Framework

  4. Hidden Markov Models, Regime-Switching, and Mathematical Finance

    1. Front Matter

      Pages 167-167

    2. No Access

      Book Chapter

      Pages 169-184

      A HMM Intensity-Based Credit Risk Model and Filtering

    3. No Access

      Book Chapter

      Pages 185-203

      Yield Curve Modelling Using a Multivariate Higher-Order HMM

    4. No Access

      Book Chapter

      Pages 205-225

      Numerical Methods for Optimal Annuity Purchasing and Dividend Optimization Strategies under Regime-Switching Models: Review of Recent Results

    5. No Access

      Book Chapter

      Pages 227-245

      Trading a Mean-Reverting Asset with Regime Switching: An Asymptotic Approach

    6. No Access

      Book Chapter

      Pages 247-276

      CPPI in the Jump-Diffusion Model

  5. Nonlinear State-Space Models for High Frequency Financial Data

    1. Front Matter

      Pages 277-277

    2. No Access

      Book Chapter

      Pages 279-309

      An Asymmetric Information Modeling Framework for Ultra-High Frequency Transaction Data: A Nonlinear Filtering Approach

    3. No Access

      Book Chapter

      Pages 311-320

      Heterogenous Autoregressive Realized Volatility Model

    4. No Access

      Book Chapter

      Pages 321-344

      Parameter Estimation via Particle MCMC for Ultra-High Frequency Models

  6. Back Matter

    Pages 345-347