Outputs (3)

Applications of Poisson-Hidden Markov Model (2015)
Journal Article
Huang, X., & Cheng, J. (2015). Applications of Poisson-Hidden Markov Model. International Journal of Applied Mathematics and Statistics (IJAMAS), 53(4),

Some real discrete time-series counts can be considered as the random variables which follow Poisson distribution governed by Hidden Markov Chain. In this paper, a Poisson-Hidden Markov Model is employed to capture the switching between two states in... Read More about Applications of Poisson-Hidden Markov Model.

Modeling and Forecasting Corporate Default Counts Using Hidden Markov Model (2015)
Journal Article
Li, L., & Cheng, J. (2015). Modeling and Forecasting Corporate Default Counts Using Hidden Markov Model. Journal of Economics, Business and Management (JOEBM), 3(5), 493-497. https://doi.org/10.7763/joebm.2015.v3.234

How do risk attitudes of clearing firms matter for managing default exposure in futures markets? (2015)
Journal Article
Cheng, J., Hong, Y., & Tao, J. (2016). How do risk attitudes of clearing firms matter for managing default exposure in futures markets?. European Journal of Finance, 22(10), 909-940. https://doi.org/10.1080/1351847x.2015.1041148