Hidden Markov Models - Applications to Financial Economics (Paperback, Softcover reprint of the original 1st ed. 2004)

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.

General

Imprint:	Springer-Verlag New York
Country of origin:	United States
Series:	Advanced Studies in Theoretical and Applied Econometrics, 40
Release date:	December 2010
First published:	2004
Authors:	Ramaprasad Bhar • Shigeyuki Hamori
Dimensions:	235 x 155 x 9mm (L x W x T)
Format:	Paperback
Pages:	162
Edition:	Softcover reprint of the original 1st ed. 2004
ISBN-13:	978-1-4419-5448-0
Categories:	Books > Business & Economics > Economics > Macroeconomics > General Books > Business & Economics > Economics > Microeconomics > General Books > Business & Economics > Economics > Econometrics > General Books > Business & Economics > Economics > International economics > General Books > Business & Economics > Finance & accounting > Finance > Public finance > General Books > Money & Finance > Public finance > General
LSN:	1-4419-5448-1
Barcode:	9781441954480

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