Yong Zeng, Shu Wu (eds.) State-Space Models: Applications in Economics and Finance

N.-Y.: Springer, 2013. — 347 p.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 and non-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 focuses on 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.Adaptive Filtering, Nonlinear State-Space Models, and Applications in Finance and Econometrics
The Extended Liu and West Filter: Parameter Learning in Markov Switching Stochastic Volatility Models
A Survey of Implicit Particle Filters for Data AssimilationModel Uncertainty, State Uncertainty, and State-Space Models
Hong Kong Inflation Dynamics: Trend and Cycle Relationships with the USA and China
The State Space Representation and Estimation of a Time-Varying Parameter VAR with Stochastic Volatility
A Statistical Investigation of Stock Return Decomposition Based on the State-Space FrameworkA HMM Intensity-Based Credit Risk Model and Filtering
Yield Curve Modelling Using a Multivariate Higher-Order HMM
Numerical Methods for Optimal Annuity Purchasing and Dividend Optimization Strategies under Regime-Switching Models: Review of Recent Results
Trading a Mean-Reverting Asset with Regime Switching: An Asymptotic Approach
CPPI in the Jump-Diffusion ModelAn Asymmetric Information Modeling Framework
Heterogenous Autoregressive Realized Volatility Model
Parameter Estimation via Particle MCMC for Ultra-High Frequency Models