Search Results

Estimating the Instantaneous Volatility and Covariance of Risky Assets,
Marc Chesney and Robert Elliott, from HAL (1995)
Keywords: Instantaneous Volatility,Covariance,Risky Assets

Predicting binary outcomes,
Graham Elliott and Robert Lieli, in Journal of Econometrics (2013)

“Pricing Annuity Guarantees Under a Regime-Switching Model”, X. Sheldon Lin, Ken Seng Tan and Hailiang Yang, July 2009,
Robert Elliott and Tak Siu, in North American Actuarial Journal (2009)

An interest rate model with a Markovian mean reverting level,
Robert Elliott and Rogemar Mamon, in Quantitative Finance (2002)

Perpetual American options with fractional Brownian motion,
Robert Elliott and Leunglung Chan, in Quantitative Finance (2004)

VaR and expected shortfall: a non-normal regime switching framework,
Robert Elliott and Hong Miao, in Quantitative Finance (2009)
Keywords: Asset pricing, Capital structure, Corporate finance, Copulas,

A risk-based approach for pricing American options under a generalized Markov regime-switching model,
Robert Elliott and Tak Siu, in Quantitative Finance (2011)

Determinants of UK Box Office Success: The Impact of Quality Signals,
Caroline Elliott and Robert Simmons, in Review of Industrial Organization (2008)
Keywords: Advertising, Critical reviews, Film industry,

Credit risk and contagion via self-exciting default intensity,
Robert Elliott and Jia Shen, in Annals of Finance (2015)
Keywords: Credit derivative, Default contagion, Frailty, Self-exciting process, Markov chain, G12, G13, C58,

Pricing of discount bonds with a Markov switching regime,
Robert Elliott and Katsumasa Nishide, in Annals of Finance (2014)
Keywords: Bond pricing, Term structure, Markov switching regime, CIR model, Stochastic flows, G12, D43, D81, E32,

Dynamic optimal capital structure with regime switching,
Robert Elliott and Jia Shen, in Annals of Finance (2015)
Keywords: Credit spread, Defaultable bond, Regime switching , Structural model, First passage time, Markov chain, G12, G13, C58,

Multi-Product Firms and Exporting: A Developing Country Perspective,
Robert Elliott and Supreeya Virakul, from University of Nottingham, GEP (2008)
Keywords: Multinationals, Firm characteristics, Multi-product, Exports

Ecological Modernisation in Japan: The Role of Interest Rate Subsidies and Voluntary Pollution Control Agreements,
Robert Elliott and Toshihiro Okubo, from Institute for Economics Studies, Keio University (2016)
Keywords: Environmental regulations

Economic Integration and the Evolution of Trade: A Geometric Interpretation,
Akm Azhar and Robert Elliott, from Economics, The University of Manchester (2003)

On the Measurement of Trade-Induced Adjustment,
Akm Azhar and Robert Elliott, from Economics, The University of Manchester (2003)

Do Environmental Regulations Influence Trade Patterns? Testing New and Old Trade Theories,
Matthew Cole and Robert Elliott, from Economics, The University of Manchester (2003)

AFTA and the Asian Crisis: Help or Hindrance to ASEAN Intra-Regional Trade?,
Robert Elliott and K Ikemoto, from Economics, The University of Manchester (2003)

Trade, Skills and Adjustment Costs: A Study of Intra-Sectoral Labour Mobility in the UK,
Robert Elliott and Joanne Lindley, from Economics, The University of Manchester (2003)

Skill Specificity and Labor Mobility: Occupational and Sectoral Dimensions,
Robert Elliott and Joanne Lindley, from Economics, The University of Manchester (2003)

Labour-market effects of intra-industry trade: Evidence for the United Kingdom,
Marius Brülhart and Robert Elliott, in Review of World Economics (Weltwirtschaftliches Archiv) (2002)
Keywords: F1, J6,

Adjustment to the European Single Market: Inferences from Intra-Industry Trade Patterns,
Marius Brülhart and Robert Elliott, from University of Nottingham, CREDIT

Adjustment to the European single market: inferences from intra‐industry trade patterns,
Marius Brülhart and Robert Elliott, in Journal of Economic Studies (1998)

Environmental Regulation Induced Foreign Direct Investment,
Robert Elliott and Ying Zhou, in Environmental & Resource Economics (2013)
Keywords: FDI, Environmental regulations, Pollution halo,

A Measure of Trade Induced Adjustment in Volume and Quality Space,
Akm Azhar and Robert Elliott, in Open Economies Review (2011)
Keywords: Exports, Intra-industry trade, Adjustment costs, Quality, Product differentiation, F19,

Economic Integration and the Evolution of Trade: A Geometric Interpretation of Trade Measures,
Robert Elliott and Akm Azhar, in Journal of Economic Integration (2004)
Keywords: globalisation; international trade; intra-industry trade

On the Measurement of Product Quality in Intra-Industry Trade,
Akm Azhar and Robert Elliott, in Review of World Economics (Weltwirtschaftliches Archiv) (2006)
Keywords: Globalization, vertical and horizontal intra-industry trade, product quality,

On the measurement of trade-induced adjustment,
Akm Azhar and Robert Elliott, in Review of World Economics (Weltwirtschaftliches Archiv) (2003)
Keywords: Intra-industry trade, adjustment costs,

On the Measurement of Changes in Product Quality in Marginal Intra-Industry Trade,
Akm Azhar and Robert Elliott, in Review of World Economics (Weltwirtschaftliches Archiv) (2008)
Keywords: Intra-industry trade, adjustment costs, quality, product differentiation,

Multi-product firms and exporting: a developing country perspective,
Robert Elliott and Supreeya Virakul, in Review of World Economics (Weltwirtschaftliches Archiv) (2010)
Keywords: Multinationals, Firm characteristics, Multi-product, Exports, F10, F14, L11,

Trade and Specialisation in Pollution Intensive Industries: North-South Evidence,
Akm Azhar and Robert Elliott, in International Economic Journal (2007)
Keywords: Pollution Haven Hypothesis, trade box, specialisation,

Ecological Modernization in Japan: The Role of Interest Rate Subsidies and Voluntary Pollution Control Agreements,
Robert Elliott and Toshihiro Okubo, in Asian Economic Papers (2016)

The geometry of inter and intra industry trade,
A.K.M. Azhar and Robert Elliott, in Economics Bulletin (2001)

Environmental Jobs and Growth in the United States,
Robert Elliott and Joanne Lindley, in Ecological Economics (2017)
Keywords: Green goods and services; Productivity; Employment;

Determining the trade-environment composition effect: the role of capital, labor and environmental regulations,
Matthew Cole and Robert Elliott, in Journal of Environmental Economics and Management (2003)

Co-location and Spatial Wage Spillovers in China: The Role of Foreign Ownership and Trade,
Robert Elliott and Ying Zhou, in World Development (2015)
Keywords: wages; FDI; trade; co-location; China; spatial econometrics;

On the Measurement of Changes in Product Quality in Marginal Intra-Industry Trade,
Akm Azhar and Robert Elliott, from Department of Economics, University of Birmingham (2007)
Keywords: Intra-industry trade, adjustment costs, quality, product differentiation

State-Owned Enterprises, Exporting and Productivity in China: A Stochastic Dominance Approach,
Robert Elliott and Ying Zhou, from Department of Economics, University of Birmingham (2013)
Keywords: Productivity, China, firm-level, State-owned enterprise, heterogeneity, stochastic dominance

Environmental Regulation Induced Foreign Direct Investment,
Robert Elliott and Ying Zhou, from Department of Economics, University of Birmingham (2013)
Keywords: FDI, environmental regulations, pollution halo

Green Jobs and Growth in the United States: Green Shoots or False Dawn?,
Robert Elliott and Joanne Lindley, from Department of Economics, University of Birmingham (2014)
Keywords: Green Goods and Services; Productivity; Employment

Defining misinformation, disinformation and malinformation: An urgent need for clarity during the COVID-19 infodemic,
Darrin Baines and Robert Elliott, from Department of Economics, University of Birmingham (2020)
Keywords: COVID-19, infodemic, misinformation, disinformation, malinformation

AFTA and the Asian Crisis: Help or Hindrance to ASEAN Intra‐Regional Trade?,
Robert Elliott and Kengo Ikemoto, in Asian Economic Journal (2004)

Immigrant wage differentials, ethnicity and occupational segregation,
Robert Elliott and Joanne Lindley, in Journal of the Royal Statistical Society Series A (2008)

SKILL SPECIFICITY AND LABOUR MOBILITY: OCCUPATIONAL AND SECTORAL DIMENSIONS*,
Robert Elliott and Joanne Lindley, in Manchester School (2006)

FDI and the Capital Intensity of “Dirty” Sectors: A Missing Piece of the Pollution Haven Puzzle,
Matthew Cole and Robert Elliott, in Review of Development Economics (2005)

Trade, Skills and Adjustment Costs: A Study of Intra‐Sectoral Labor Mobility,
Robert Elliott and Joanne Lindley, in Review of Development Economics (2006)

Do Environmental Regulations Influence Trade Patterns? Testing Old and New Trade Theories,
Matthew Cole and Robert Elliott, in The World Economy (2003)

Are ASEAN Countries Havens for Japanese Pollution‐Intensive Industry?,
Robert Elliott and Kenichi Shimamoto, in The World Economy (2008)

State-owned Enterprises, Exporting and Productivity in China: A Stochastic Dominance Approach,
Robert Elliott and Ying Zhou, in The World Economy (2013)

Do Environmental Regulations Cost Jobs? An Industry-Level Analysis of the UK,
Matthew Cole and Robert Elliott, in The B.E. Journal of Economic Analysis & Policy (2007)
Keywords: environmental regulations, employment, UK

Hidden Markov Chain Filtering for Generalised Bessel Processes,
Robert Elliott and Eckhard Platen, from Quantitative Finance Research Centre, University of Technology, Sydney (1999)

Pricing of Discount Bonds with a Markov Switching Regime　,
Robert Elliott and Katsumasa Nishide, from Kyoto University, Institute of Economic Research (2013)
Keywords: Investment;Bond pricing, term structure, Markov switching regime, Vasicek model, CIR model, stochastic flows.

Immigrant Wage Differentials, Ethnicity and Occupational Clustering,
Robert Elliott and Joanne Lindley, from The University of Sheffield, Department of Economics (2006)
Keywords: Discrimination, earnings, occupation.

Relative Earnings in the UK Public Sector: The Impact of Pay Reform on Pay Structure,
Keith Bender and Robert Elliott, from Palgrave Macmillan (1999)
Keywords: Private Sector, Public Sector, National Health Service, Wage Structure, British Household Panel Survey

A Survey of Intra-Industry Trade in the European Union,
Marius Brülhart and Robert Elliott, from Palgrave Macmillan (1999)
Keywords: European Union, Trade Flow, European Union Country, Total Trade, Common Market Study

Adam Smith may have been right after all: A new approach to the analysis of compensating differentials,
Robert F. Elliott and Robert Sandy, in Economics Letters (1998)

Long-term Illness and Wages: The Impact of the Risk of Occupationally Related Long-term Illness on Earnings,
Robert Sandy and Robert F. Elliott, in Journal of Human Resources (2005)

Filters and smoothers for self-exciting Markov modulated counting processes,
Samuel N. Cohen and Robert J. Elliott, from arXiv.org (2013)

A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL,
Robert J. Elliott and Rogemar S. Mamon, in International Journal of Theoretical and Applied Finance (IJTAF) (2003)
Keywords: Markov chain, semi-martingale, forward measure, unbiased expectation hypothesis

A HIDDEN MARKOV APPROACH TO THE FORWARD PREMIUM PUZZLE,
Robert J. Elliott and Bing Han, in International Journal of Theoretical and Applied Finance (IJTAF) (2006)
Keywords: Hidden Markov models, filtering, uncovered interest rate parity

OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR,
Robert J. Elliott and Ahmed S. Hamada, in International Journal of Theoretical and Applied Finance (IJTAF) (2014)
Keywords: Stochastic discount factor, option pricing, regime switching, continuous time Markov chain

State Space Modeling & Bayesian Inference with Computational Intelligence,
Ayub Hanif and Robert Elliott Smith, in New Mathematics and Natural Computation (NMNC) (2015)
Keywords: Sequential Monte Carlo, Bayesian filtering, computational intelligence

Estimating the instantaneous volatility and covariance of risky assets,
Marc Chesney and Robert J. Elliott, in Applied Stochastic Models and Data Analysis (1995)

Regime Switching Entropic Risk Measures on Crude Oil Pricing,
Babacar Seck and Robert J. Elliott, from arXiv.org (2021)

PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS,
Ping Wu and Robert J. Elliott, in International Journal of Theoretical and Applied Finance (IJTAF) (2005)
Keywords: Reference probability, martingales, filtering equations, jump process

Valuation of CMS range notes in a multifactor LIBOR market model,
Ping Wu and Robert J. Elliott, in International Journal of Financial Engineering (IJFE) (2016)
Keywords: LIBOR market model, constant maturity swap, CMS range notes

Public-sector resource allocation since the financial crisis,
Robert Elliott, Daniel Kopasker and Diane Skåtun, in International Journal of Manpower (2020)
Keywords: Resource allocation, Labour cost variations, Market forces factor, Area cost adjustment, Spatial wage differentials, Regional wage differentials, E24, H51, J31

Analytical solutions to the pricing of American bond and yield options,
Marc Chesney, Robert Elliott and Rajna Gibson, from HAL (1991)
Keywords: Analytical,solutions,pricing,American,bond,yield,options

State and mode estimation for discrete-time jump Markov systems,
François Dufour, Robert Elliott and W.P. Malcolm, from HAL (2005)

AMERICAN OPTIONS WITH REGIME SWITCHING,
John Buffington and Robert J. Elliott, in International Journal of Theoretical and Applied Finance (IJTAF) (2002)
Keywords: Option pricing, free boundary problem, Black-Scholes equation

Institutional ownership and liquidity commonality: evidence from Australia,
Reza Bradrania, Robert Elliott and Winston Wu, from arXiv.org (2022)

A hidden Markov model of credit quality,
Malgorzata W. Korolkiewicz and Robert J. Elliott, in Journal of Economic Dynamics and Control (2008)
Keywords: Credit quality Filtering Hidden Markov models EM algorithm

Parameter estimation in commodity markets: A filtering approach,
Robert J. Elliott and Cody. B. Hyndman, in Journal of Economic Dynamics and Control (2007)

Time consistency and moving horizons for risk measures,
Samuel N. Cohen and Robert J. Elliott, from arXiv.org (2010)

Pricing Currency Derivatives with Markov-modulated Levy Dynamics,
Anatoliy Swishchuk, Maksym Tertychnyi and Robert Elliott, from arXiv.org (2014)

A 'simple' hybrid model for power derivatives,
Matthew R. Lyle and Robert J. Elliott, in Energy Economics (2009)
Keywords: Electricity pricing Power derivatives Seasonality

U.S. higher education reform: Origins and impact of student curricular choice,
Robert W. Elliott and Valerie Osland Paton, in International Journal of Educational Development (2018)
Keywords: Electives; Curriculum reform; Charles william eliot;

Estimating the implicit interest rate of a risky asset,
Robert J. Elliott and Raymond W. Rishel, in Stochastic Processes and their Applications (1994)

A converse comparison theorem for anticipated BSDEs and related non-linear expectations,
Zhe Yang and Robert J. Elliott, in Stochastic Processes and their Applications (2013)
Keywords: Anticipated BSDEs; Stopping times; (f,δ)-expectations; Converse comparison theorem;

Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone,
Robert Elliott, Jinniao Qiu and Wenning Wei, in Stochastic Processes and their Applications (2022)
Keywords: Stochastic Hamilton–Jacobi–Bellman equation; Backward stochastic partial differential equation; Singular terminal condition; Constrained stochastic control; Optimal liquidation; Neumann problem;

Integration by parts for the single jump process,
Robert J. Elliott and Allanus H. Tsoi, in Statistics & Probability Letters (1991)
Keywords: Single jump process martingale stochastic integral integration by parts

A short proof of a martingale representation result,
Robert J. Elliott and Michael Kohlmann, in Statistics & Probability Letters (1988)
Keywords: martingale representation Malliavin calculus

Filtering hidden semi-Markov chains,
Robert Elliott, Nikolaos Limnios and Anatoliy Swishchuk, in Statistics & Probability Letters (2013)
Keywords: Semi-Markov chain; Reference probability; Modified Viterbi filters; Genomics;

Filtrations for the two parameter jump process,
Ata Al-Hussaini and Robert J. Elliott, in Journal of Multivariate Analysis (1985)
Keywords: Filtration stopping line two parameter process optional projection predictable projection martingale representation

Subjective framing and attitudes towards risk,
Catherine S. Elliott and Robert B. Archibald, in Journal of Economic Psychology (1989)

Annals issue of Journal of Econometrics “Recent Advances in Time Series Econometrics” Guest Editors’ introduction,
Graham Elliott and AM Robert Taylor, from Department of Economics, UC San Diego (2014)
Keywords: Statistics, Applied Economics, Econometrics

Evasion of Incomes Policy: A Model of Non-compliance,
Robert F Elliott and Philip D Murphy, in Economic Journal (1989)

“Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method”, Fei Lung Yuen and Hailiang Yang, April, 2010,
Robert Elliott, Chuin Liew and Tak Siu, in North American Actuarial Journal (2010)

Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case,
Robert J. Elliott and Guang-Hua Lian, in Quantitative Finance (2012)

General equilibrium pricing with multiple dividend streams and regime switching,
Jia Shen and Robert J. Elliott, in Quantitative Finance (2015)

Estimating a regime switching pairs trading model,
Robert J. Elliott and Reza Bradrania, in Quantitative Finance (2018)