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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Hidden Markov Models: Applications to Financial Economics

Hidden Markov Models: Applications to Financial Economics

Bhar, Ramaprasad
Hamori, Shigeyuki

Hardcover

Series: Advanced Studies in Theoretical and Applied Econometrics, Book 40

EconomicsInvesting & Finance

ISBN10: 1402078994
ISBN13: 9781402078996
Publisher: Springer
Published: Jul 20 2004
Pages: 155
Weight: 0.95
Height: 0.58 Width: 6.28 Depth: 9.76
Language: English
Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variables. Although the hidden Markov processes have been widely employed for some time in many engineering applications e.g. speech recognition, its effectiveness has now been recognized in areas of social science research as well. The main aim of Hidden Markov Models: Applications to Financial Economics is to make such techniques available to more researchers in financial economics. As such we only cover the necessary theoretical aspects in each chapter while focusing on real life applications using contemporary data mainly from OECD group of countries. The underlying assumption here is that the researchers in financial economics would be familiar with such application although empirical techniques would be more traditional econometrics. Keeping the application level in a more familiar level, we focus on the methodology based on hidden Markov processes. This will, we believe, help the reader to develop more in-depth understanding of the modeling issues thereby benefiting their future research.

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