Advanced Studies in Theoretical and Applied Econometrics

Hidden Markov Models

Applications to Financial Economics

Authors: Bhar, Ramaprasad, Hamori, Shigeyuki

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About this book

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.

Table of contents (7 chapters)

Buy this book

eBook $149.00
price for USA (gross)
  • ISBN 978-1-4020-7940-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $189.00
price for USA
  • ISBN 978-1-4020-7899-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $189.00
price for USA
  • ISBN 978-1-4419-5448-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Hidden Markov Models
Book Subtitle
Applications to Financial Economics
Authors
Series Title
Advanced Studies in Theoretical and Applied Econometrics
Series Volume
40
Copyright
2004
Publisher
Springer US
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4020-7940-5
DOI
10.1007/b109046
Hardcover ISBN
978-1-4020-7899-6
Softcover ISBN
978-1-4419-5448-0
Series ISSN
1570-5811
Edition Number
1
Number of Pages
XVIII, 162
Topics