Discrete-Time Markov Jump Linear Systems

Autoregressive conditional heteroskedasticity and changes in regime

James D. Hamilton, Raúl Susmel · Journal of Econometrics · 1994 · 1.9K citations

Volatility Modeling, Economics, Business +4

The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp

Bruce E. Hansen · Journal of Applied Econometrics · 1992 · 627 citations

Empirical Process Theory, Non-standard Conditions, Hidden Markov Model +8

Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits

George Yin, X.Y. Zhou · IEEE Transactions on Automatic Control · 2004 · 232 citations

Engineering, Portfolio Management, Portfolio Choice +18

Spreading Code Optimization and Adaptation in CDMA Via Discrete Stochastic Approximation

Vikram Krishnamurthy, Xiaodong Wang, George Yin · IEEE Transactions on Information Theory · 2004 · 68 citations

Mathematical Programming, Distributed Source Coding, Engineering +15