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State-Space Models - Applications in Economics and Finance (Paperback, Softcover reprint of the original 1st ed. 2013)
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State-Space Models - Applications in Economics and Finance (Paperback, Softcover reprint of the original 1st ed. 2013)
Series: Statistics and Econometrics for Finance, 1
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State-space models as an important mathematical tool has been
widely used in many different fields. This edited collection
explores recent theoretical developments of the models and their
applications in economics and finance. The book includes nonlinear
and non-Gaussian time series models, regime-switching and hidden
Markov models, continuous- or discrete-time state processes, and
models of equally-spaced or irregularly-spaced (discrete or
continuous) observations. The contributed chapters are divided into
four parts. The first part is on Particle Filtering and Parameter
Learning in Nonlinear State-Space Models. The second part focuses
on the application of Linear State-Space Models in Macroeconomics
and Finance. The third part deals with Hidden Markov Models, Regime
Switching and Mathematical Finance and the fourth part is on
Nonlinear State-Space Models for High Frequency Financial Data. The
book will appeal to graduate students and researchers studying
state-space modeling in economics, statistics, and mathematics, as
well as to finance professionals.
General
Imprint: |
Springer-Verlag New York
|
Country of origin: |
United States |
Series: |
Statistics and Econometrics for Finance, 1 |
Release date: |
August 2015 |
Editors: |
Yong Zeng
• Shu Wu
|
Dimensions: |
235 x 155 x 20mm (L x W x T) |
Format: |
Paperback
|
Pages: |
347 |
Edition: |
Softcover reprint of the original 1st ed. 2013 |
ISBN-13: |
978-1-4899-9253-6 |
Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
|
LSN: |
1-4899-9253-7 |
Barcode: |
9781489992536 |
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