Hidden Markov Models

Name: Hidden Markov Models
Brand: Springer-Verlag New York Inc.
SKU: 9781441954480
Price: 551.58 RON
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Applications to Financial Economics

Autor: Ramaprasad Bhar, Shigeyuki Hamori

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Editura: Springer-Verlag New York Inc.

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Markov chains have increasingly become useful way of capturing stochastic nature of many economic an...

Informații despre carte

Autor

Ramaprasad Bhar, Shigeyuki Hamori

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2010

Pagini

162

EAN

9781441954480

ISBN

1441954481

Enbook ID

01423723

Editura

Springer-Verlag New York Inc.

Greutate

290

Dimensiuni

155 x 235 x 11

Descriere completă

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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Hidden Markov Models

Applications to Financial Economics

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