Hidden Markov Models

Name: Hidden Markov Models
SKU: 2053778
Price: 269.99 AUD
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Applications to Financial Economics

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Format:

Hardback

Series:

Advanced Studies in Theoretical and Applied Econometrics

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Description

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.

Release date Australia

July 20th, 2004

Author

Audiences

General (US: Trade)
Professional & Vocational
Tertiary Education (US: College)

Illustrations

XVIII, 162 p.

Pages

162

Series

Advanced Studies in Theoretical and Applied Econometrics

Dimensions

156x234x12

ISBN-13

9781402078996

Product ID

2053778

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