| 000 | 00892camuu2200229 a 4500 | |
| 001 | 000045187832 | |
| 005 | 20050829145024 | |
| 008 | 040326s2004 maua b 001 0 eng | |
| 020 | ▼a 1402078994 (hb : alk. paper) | |
| 040 | ▼a DLC ▼c DLC ▼d DLC ▼d 244002 | |
| 082 | 0 0 | ▼a 330/.01/519233 ▼2 22 |
| 090 | ▼a 330.015192 ▼b B575h | |
| 100 | 1 | ▼a Bhar, Ramaprasad. |
| 245 | 1 0 | ▼a Hidden Markov models : ▼b applications to financial economics / ▼c Ramaprasad Bhar, Shigeyuki Hamori. |
| 260 | ▼a Boston, Mass. : ▼b Kluwer Academic Publishers , ▼c c2004. | |
| 300 | ▼a xviii, 155 p. : ▼b ill. ; ▼c 25 cm. | |
| 440 | 0 | ▼a Advanced studies in theoretical and applied econometrics ; ▼v v. 40 |
| 504 | ▼a Includes bibliographical references (p. [145]-151) and index. | |
| 650 | 0 | ▼a Economics ▼x Mathematical models. |
| 650 | 0 | ▼a Markov processes. |
| 700 | 1 | ▼a Hamori, Shigeyuki ▼d 1959- |
소장정보
| No. | 소장처 | 청구기호 | 등록번호 | 도서상태 | 반납예정일 | 예약 | 서비스 |
|---|---|---|---|---|---|---|---|
| No. 1 | 소장처 세종학술정보원/사회과학실/ | 청구기호 330.015192 B575h | 등록번호 151182263 | 도서상태 대출가능 | 반납예정일 | 예약 | 서비스 |
컨텐츠정보
목차
List of Figures. List of Tables. Dedication. Acknowledgements. 1: Introduction. 1. Introduction. 2. Markov Chains. 3. Passage Time. 4. Markov Chains and the Term Structure of Interest Rates. 5. State Space Methods and Kalman Filter. 6. Hidden Markov Models and Hidden Markov Experts. 7. HMM Estimation Algorithm. 8. HMM Parameter Estimation. 9. HMM Most Probable State Sequence: Viterbi Algorithm. 10. HMM Illustrative examples. 2: Volatility in Growth Rate of Real GDP. 1. Introduction. 2. Models. 3. Data. 4. Empirical Results. 5. Conclusion. 3: Linkages among G7 Stock Markets. 1. Introduction. 2. Empirical Technique. 3. Data. 4. Empirical Results. 5. Conclusion. 4: Interplay between Industrial Production and Stock Market. 1. Introduction. 2. Markov Switching Heteroscedasticity Model of Output and Equity. 3. Data. 4. Empirical Results. 5. Conclusion. 5: Linking Inflation and Inflation Uncertainty. 1. Introduction. 2. Empirical Technique. 3. Data. 4. Empirical Results. 5. Conclusion. 6: Exploring Permanent and Transitory Components of Stock Return. 1. Introduction. 2. Markov Switching Heteroscedasticity Model of Stock Return. 3. Data. 4. Empirical Results. 5. Conclusion. 7: Exploring the Relationship between Coincident Financial Market Indicators. 1. Introduction. 2. Markov Switching Coincidence Index Model. 3. Data. 4. Empirical Results. 5. Conclusion. References. Index.
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