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Christina Erlwein‐Sayer

Observed names: C. Erlwein, Christina Erlwein, Christina Erlwein-Sayer, Erlwein, Christina, Erlwein-Sayer, Christina
ORCID: 0000-0003-1745-9259
Observed ORCID: 0000-0003-1745-9259
OpenAlex ID: A5062449800
HMM filtering and parameter estimation of an electricity spot price model
2010 · Christina Erlwein, Fred Espen Benth, et al. · Energy Economics · 65
The Pricing of Credit Default Swaps under a Markov-Modulated Merton’s Structural Model
2008 · Tak Kuen Siu, Christina Erlwein, et al. · North American Actuarial Journal · 38
An online estimation scheme for a Hull–White model with HMM-driven parameters
2007 · Christina Erlwein, Rogemar Mamon · Statistical Methods & Applications · 37
Adaptive signal processing of asset price dynamics with predictability analysis
2007 · Rogemar S. Mamon, Christina Erlwein, et al. · Information Sciences · 33
An examination of HMM-based investment strategies for asset allocation
2009 · Christina Erlwein, Rogemar Mamon, et al. · Applied Stochastic Models in Business and Industry · 29
Macroeconomic News Sentiment: Enhanced Risk Assessment for Sovereign Bonds
2018 · Christina Erlwein-Sayer · Risks · 12
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Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
2019 · Stefanie Grimm, Christina Erlwein-Sayer, et al. · Nonlinear Analysis Hybrid Systems · 9
Handbook of Alternative Data in Finance, Volume I
2023 · Gautam Mitra, Kieu Thi Hoang, et al. · Chapman & Hall/CRC eBooks · 8
GARCH-extended models: theoretical properties and applications
2013 · Nana, Giles-Arnaud Nzouankeu, Korn, Ralf, et al. · arXiv (Cornell University) · 8
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HMM based scenario generation for an investment optimisation problem
2011 · Christina Erlwein, Gautam Mitra, et al. · Annals of Operations Research · 7
An adaptive regime-switching regression model for hedge funds
2013 · C. Erlwein, M. Muller · IMA Journal of Management Mathematics · 6
Filter‐based portfolio strategies in an HMM setting with varying correlation parametrizations
2019 · Christina Erlwein‐Sayer, Stefanie Grimm, et al. · Applied Stochastic Models in Business and Industry · 5
News-Enhanced Market Risk Management
2013 · Cristiano Arbex-Valle, Christina Erlwein-Sayer, et al. · SSRN Electronic Journal · 5
The impact of green bonds on issuers' environmental performance
2026 · Yiyang Chen, Christina Erlwein-Sayer, et al. · Quantitative Finance · 4
Forecasting corporate credit spreads: Regime-switching in LSTM
2023 · Christina Erlwein-Sayer, Stefanie Grimm, et al. · Econometrics and Statistics · 3
Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM
2014 · Christina Erlwein-Sayer, Peter Ruckdeschel · International series in management science/operations research/International series in operations research & management science · 3
AI, Machine Learning and sentiment analysis applied to financial markets and consumer markets
2020 · Enza Messina, Christina Erlwein-Sayer, et al. · Computational Management Science · 2
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Using Market Sentiment to Enhance Second-Order Stochastic Dominance Trading Models
2018 · Gautam Mitra, Christina Erlwein-Sayer, et al. · Chapman & Hall/CRC eBooks · 2
Day-ahead Forecasting for Redispatch Measures using Machine Learning Models
2026 · Vlad Bolovaneanu, Maria Basangova, et al. · SSRN Electronic Journal · 1
Applications of hidden Markov models in financial modelling
2008 · Christina Erlwein · Brunel University Research Archive (BURA) (Brunel University London) · 1
Sentiment-Driven Forecasting of Fractional Trading Activity Using LSTM Networks
2026 · Christina Erlwein-Sayer, Sakir Kepezkaya, et al. · Methodology And Computing In Applied Probability
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Stateful and Stateless LSTMs for Sentiment-Driven Trading Signal Forecasting
2026 · Patrick Spohr, Christina Erlwein-Sayer · SSRN Electronic Journal
Twenty-five years of applied mathematical programming and modelling
2018 · Christina Erlwein-Sayer, Ronald Hochreiter · Computational Management Science
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Enhanced Corporate Bond Yield Modelling Incorporating Macroeconomic News Sentiment
2017 · Zhixin Cai, Gautam Mitra, et al. · SSRN Electronic Journal
Robustification of Elliott's on-line EM algorithm for HMMs
2013 · Erlwein, Christina, Ruckdeschel, Peter · RePEc: Research Papers in Economics
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Works count: 32
Citation count: 278
H-index: 8
I10-index: 6
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