Titlebook: State-Space Models; Applications in Econ Yong Zeng,Shu Wu Book 2013 Springer Science+Business Media New York 2013 Econometrics.Macroeconomi

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Numerical Methods for Optimal Annuity Purchasing and Dividend Optimization Strategies under Regime-Szing optimization problems arising from dividend payment strategy and ruin probability, which are commonly formulated as stochastic control and optimization problems. The regime-switching models better describe the market conditions (such as bull and bear) and other economic conditions. The model is

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讽刺滑稽戏剧

Thyroid-Gland

An Asymmetric Information Modeling Framework for Ultra-High Frequency Transaction Data: A Nonlinear ong the key quantities in financial markets: the price impact of a trade, the duration between trades, and the degree of information asymmetry. In the model, a private signal is partially revealed through trades, while new public information arrives continuously at the market. The market maker utili

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Parameter Estimation via Particle MCMC for Ultra-High Frequency Modelsosed by Zeng (2003), who considers the explicit structure of market microstructure noise. Although the model is able to capture stylized facts of tick data, the nonlinear state-space model structure makes parameter estimation a challenge. We use PMCMC to estimate a couple models when the underlying

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Adaptive Filtering, Nonlinear State-Space Models, and Applications in Finance and Econometricshout such an assumption. We also describe a new adaptive particle filter that uses a computationally efficient Markov Chain Monte Carlo estimate of the posterior distribution of the state-space model parameters in conjunction with sequential state estimation.

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An Asymmetric Information Modeling Framework for Ultra-High Frequency Transaction Data: A Nonlinear on the actual sequence of order arrivals, not just the total number of buy/sell orders. The price impact of a trade tends to decrease when the duration between trades gets longer. The speed at which the information gets incorporated into the price depends on the quality of the private signal and the trading rate of informed traders.

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Heterogenous Autoregressive Realized Volatility Modeleneous autoregressive volatility model. This chapter is to provide some theoretical justifications for the empirical approach by showing that realized volatility estimators approximately obey a heterogeneous autoregressive model for some appropriate underlying price and volatility processes.