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Hidden Markov Models: Applications to Financial Economics (Advanced Studies in Theoretical and Applied Econometrics (40)) by Ramaprasad Bhar, Shigeyuki Hamori (auth.) is a nonfiction available to read on EtoBox.

What is Hidden Markov Models: Applications to Financial Economics (Advanced Studies in Theoretical and Applied Econometrics (40)) about?

"Markov chains have increasingly become a useful way of capturing the 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 the 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 on a more familiar level, we focus on the methodology based on hidden Markov processes. This will we believe, help the reader to develop a more in-depth understanding of the modeling issues, thereby benefiting their future research."--BOOK JACKET.

Who reads Hidden Markov Models: Applications to Financial Economics (Advanced Studies in Theoretical and Applied Econometrics (40))?

Author

Ramaprasad Bhar, Shigeyuki Hamori (auth.)

Publisher

Kluwer Academic Publishers

Published

2004

Language

EN

ISBN

9786610148387

Category

nonfiction

Subjects

Economics, Finance, Business