-
1
-
-
67650726839
-
The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach
-
Aloui, C. and Jammazi, R. (2009) The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach. Energy Economics, 31, 789-799.
-
(2009)
Energy Economics
, vol.31
, pp. 789-799
-
-
Aloui, C.1
Jammazi, R.2
-
5
-
-
30944460406
-
Numerical transform inversion using gaussian quadrature
-
DOI 10.1017/S0269964806060013
-
Den Iseger, P. (2006) Numerical transform inversion using Gaussian quadrature. Probability in the Engineering and Informational Sciences, 20(1), 1-44. (Pubitemid 43388992)
-
(2006)
Probability in the Engineering and Informational Sciences
, vol.20
, Issue.1
, pp. 1-44
-
-
Den Iseger, P.1
-
6
-
-
24144486570
-
Option pricing and Esscher transform under regime switching
-
DOI 10.1007/s10436-005-0013-z
-
Elliott, R.J., Chan, L.L. and Siu, T.K. (2005) Option pricing and Esscher transformunder regime switching. Annals of Finance, 1(4), 423-432. (Pubitemid 41236322)
-
(2005)
Annals of Finance
, vol.1
, Issue.4
, pp. 423-432
-
-
Elliott, R.J.1
Chan, L.2
Siu, T.K.3
-
7
-
-
0011966319
-
Financial signal processing
-
Elliott, R.J., Hunter, W.C. and Jamieson, B.M. (2010) Financial signal processing. International Journal of Theoretical and Applied Finance, 4, 567-584.
-
(2010)
International Journal of Theoretical and Applied Finance
, vol.4
, pp. 567-584
-
-
Elliott, R.J.1
Hunter, W.C.2
Jamieson, B.M.3
-
8
-
-
77949423164
-
On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
-
Elliott, R.J. and Siu, T.K. (2010) On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy. Annals of Operations Research, 176, 271-291.
-
(2010)
Annals of Operations Research
, vol.176
, pp. 271-291
-
-
Elliott, R.J.1
Siu, T.K.2
-
9
-
-
0000048410
-
An application of hidden Markov models to asset allocation problems
-
DOI 10.1007/s007800050022
-
Elliott, R.J. andVan der Hoek, J. (1997)Anapplication of hiddenMarkov models to asset allocation problems. Finance and Stochastics, 3, 229-238. (Pubitemid 127098295)
-
(1997)
Finance and stochastics
, vol.1
, Issue.3
, pp. 229-238
-
-
Elliott, R.J.1
Van Der Hoek, J.2
-
10
-
-
0032634572
-
Measures of effectiveness for governmental organizations
-
Gawande, K. and Wheeler, T. (1999) Measures of effectiveness for governmental organizations. Management Science, 45(1), 42-58.
-
(1999)
Management Science
, vol.45
, Issue.1
, pp. 42-58
-
-
Gawande, K.1
Wheeler, T.2
-
11
-
-
75149178559
-
Detecting hot and cold cycles using a Markov regime switching model-evidence from the Chinese A-share IPO market
-
Guo, H., Brooks, R. and Shami, R. (2010) Detecting hot and cold cycles using a Markov regime switching model-evidence from the Chinese A-share IPO market. International Review of Economics and Finance, 19, 196-210.
-
(2010)
International Review of Economics and Finance
, vol.19
, pp. 196-210
-
-
Guo, H.1
Brooks, R.2
Shami, R.3
-
12
-
-
53349115155
-
Information and option pricing
-
Guo, X. (2001) Information and option pricing. Quantitative Finance, 1, 38-44.
-
(2001)
Quantitative Finance
, vol.1
, pp. 38-44
-
-
Guo, X.1
-
13
-
-
0001342006
-
A new approach to the economic analysis of nonstationary time series and the business cycle
-
Hamilton, J.D. (1989) A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57, 357-384.
-
(1989)
Econometrica
, vol.57
, pp. 357-384
-
-
Hamilton, J.D.1
-
14
-
-
33847014606
-
Operations systems with discretionary task completion
-
Hopp, W.J., Iravani, S.M.R. and Yuen, G.Y. (2007) Operations systems with discretionary task completion. Management Science, 53(1), 61-77.
-
(2007)
Management Science
, vol.53
, Issue.1
, pp. 61-77
-
-
Hopp, W.J.1
Iravani, S.M.R.2
Yuen, G.Y.3
-
15
-
-
0031988570
-
A stochastic regime switching model for the failure process of a repairable system
-
Lim, T.J. (1998) A stochastic regime switching model for the failure process of a repairable system. Reliability Engineering and System Safety, 59, 225-238.
-
(1998)
Reliability Engineering and System Safety
, vol.59
, pp. 225-238
-
-
Lim, T.J.1
-
16
-
-
63149163603
-
System reliability evaluation for a multistate supply chain network with failure nodes using minimal paths
-
Lin, Y.K. (2009) System reliability evaluation for a multistate supply chain network with failure nodes using minimal paths. IEEE Transactions on Reliability, 58(1), 34-40.
-
(2009)
IEEE Transactions on Reliability
, vol.58
, Issue.1
, pp. 34-40
-
-
Lin, Y.K.1
-
17
-
-
33645544106
-
Reliability measures for dynamic multistate nonrepairable systems and their applications to system performance evaluation
-
Liu, Y.W. and Kapur K.C. (2006) Reliability measures for dynamic multistate nonrepairable systems and their applications to system performance evaluation. IIE Transactions, 38(6), 511-520.
-
(2006)
IIE Transactions
, vol.38
, Issue.6
, pp. 511-520
-
-
Liu, Y.W.1
Kapur, K.C.2
-
18
-
-
63449116254
-
The Markovian regime-switching risk model with a threshold dividend strategy
-
Lu, Y., and Li, S. (2009) The Markovian regime-switching risk model with a threshold dividend strategy. Insurance: Mathematics and Economics, 44, 296-303.
-
(2009)
Insurance: Mathematics and Economics
, vol.44
, pp. 296-303
-
-
Lu, Y.1
Li, S.2
-
19
-
-
77955276756
-
Forecasting volatility under fractality, regime-switching, long memory, and Student-t innovations
-
Lux, T. and Morales-Arias, L. (2010) Forecasting volatility under fractality, regime-switching, long memory, and Student-t innovations. Computational Statistics and Data Analysis, 54, 2676-2692.
-
(2010)
Computational Statistics and Data Analysis
, vol.54
, pp. 2676-2692
-
-
Lux, T.1
Morales-Arias, L.2
-
22
-
-
51249112270
-
Throughput performance analysis for closed-loop vehicle-based material handling systems
-
Nazzal, D. and McGinnis, L.F. (2008) Throughput performance analysis for closed-loop vehicle-based material handling systems. IIE Transactions, 40(11), 1097-1106.
-
(2008)
IIE Transactions
, vol.40
, Issue.11
, pp. 1097-1106
-
-
Nazzal, D.1
McGinnis, L.F.2
-
24
-
-
41249087429
-
NHPPmodels withMarkov switching for software reliability
-
Ravishanker,N.,Liu,Z. andRay,B.K. (2008)NHPPmodels withMarkov switching for software reliability. Computational Statistics and Data Analysis, 52, 3988-3999.
-
(2008)
Computational Statistics and Data Analysis
, vol.52
, pp. 3988-3999
-
-
Ravishanker, N.1
Liu, Z.2
Ray, B.K.3
-
25
-
-
67649472609
-
Comparative packet-forwarding measurement of three popular operating systems
-
Salah, K. and Hamawi, M. (2009) Comparative packet-forwarding measurement of three popular operating systems. Journal of Network and Computer Applications, 32, 1039-1048.
-
(2009)
Journal of Network and Computer Applications
, vol.32
, pp. 1039-1048
-
-
Salah, K.1
Hamawi, M.2
-
26
-
-
63149179676
-
Evidential networks for reliability analysis and performance evaluation of systems with imprecise knowledge
-
Simon,C. andWeber, P. (2009) Evidential networks for reliability analysis and performance evaluation of systems with imprecise knowledge. IEEE Transactions on Reliability, 58(1), 69-87.
-
(2009)
IEEE Transactions on Reliability
, vol.58
, Issue.1
, pp. 69-87
-
-
Simon, C.1
Weber, P.2
-
27
-
-
84955109883
-
Expected shortfall under a model with market and credit risks
-
Mamon, R. and Elliott, R.J. (eds) Springer, New York
-
Siu, K.B. and Yang, H.L. (2007) Expected shortfall under a model with market and credit risks, in Hidden Markov Models in Finance, Mamon, R. and Elliott, R.J. (eds) Springer, New York, pp. 91-100.
-
(2007)
Hidden Markov Models in Finance
, pp. 91-100
-
-
Siu, K.B.1
Yang, H.L.2
-
28
-
-
80052848606
-
Bond pricing under a Markovian regime-switching jumpaugmentedVasicek model via stochastic flows
-
Siu,T.K. (2010) Bond pricing under a Markovian regime-switching jumpaugmentedVasicek model via stochastic flows.AppliedMathematics and Computation, 216, 3184-3190.
-
(2010)
AppliedMathematics and Computation
, vol.216
, pp. 3184-3190
-
-
Siu, T.K.1
-
29
-
-
67349216804
-
A highorder Markov-switching model for risk measurement
-
Siu, T.K., Ching, W.K., Fung, E., Ng, M. and Li, X. (2009) A highorder Markov-switching model for risk measurement. Computers and Mathematics with Applications, 58, 1-10.
-
(2009)
Computers and Mathematics with Applications
, vol.58
, pp. 1-10
-
-
Siu, T.K.1
Ching, W.K.2
Fung, E.3
Ng, M.4
Li, X.5
-
31
-
-
56849108509
-
Multi-state k-out-of-n systems and their performance evaluation
-
Tian, Z.G., Zuo, M.J. and Yam, R.C.M. (2009) Multi-state k-out-of-n systems and their performance evaluation. IIE Transactions, 41(1), 32-44.
-
(2009)
IIE Transactions
, vol.41
, Issue.1
, pp. 32-44
-
-
Tian, Z.G.1
Zuo, M.J.2
Yam, R.C.M.3
-
32
-
-
34250187104
-
A two-state regime switching autoregressive model with an application to river flow analysis
-
Vasas, K., Elek. P. and Márkus, L. (2007) A two-state regime switching autoregressive model with an application to river flow analysis. Journal of Statistical Planning and Inference, 137, 3113-3126.
-
(2007)
Journal of Statistical Planning and Inference
, vol.137
, pp. 3113-3126
-
-
Vasas, K.1
Elek, P.2
Márkus, L.3
-
33
-
-
33749502763
-
Performance analysis and evaluation of assemble-to-order systems with stochastic sequential lead times
-
DOI 10.1287/opre.1060.0302
-
Yao, Z. and Simchi-Levi.,D. (2006) Performance analysis and evaluation of assemble-to-order systems with stochastic sequential lead times. Operations Research, 54(4), 706-724. (Pubitemid 44521582)
-
(2006)
Operations Research
, vol.54
, Issue.4
, pp. 706-724
-
-
Zhao, Y.1
Simchi-Levi, D.2
|