Hidden Markov Models

Applications to Financial Economics
1. Auflage. Softcover version of original hardcover Auflage 2004
ISBN: 978-1-4419-5448-0
Verlag: Springer US

Buch, Englisch, Band 40, 162 Seiten, Paperback, Format (B × H): 155 mm x 235 mm, Gewicht: 289 g

Reihe: Advanced Studies in Theoretical and Applied Econometrics

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.

Zielgruppe

Research

Autoren/Hrsg.

Hamori, Shigeyuki

Bhar, Ramaprasad

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
• Mathematik | Informatik Mathematik Mathematik Allgemein

Inhaltsverzeichnis

Volatility in Growth Rate of Real GDP.- Linkages Among G7 Stock Markets.- Interplay between Industrial Production and Stock Market.- Linking Inflation and Inflation Uncertainty.- Exploring Permanent and Transitory Components of Stock Return.- Exploring the Relationship between Coincident Financial Market Indicators.