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Hidden Markov models : applications to financial economics

Hidden Markov models : applications to financial economics (1회 대출)

자료유형
단행본
개인저자
Bhar, Ramaprasad. Hamori, Shigeyuki 1959-
서명 / 저자사항
Hidden Markov models : applications to financial economics / Ramaprasad Bhar, Shigeyuki Hamori.
발행사항
Boston, Mass. :   Kluwer Academic Publishers ,   c2004.  
형태사항
xviii, 155 p. : ill. ; 25 cm.
총서사항
Advanced studies in theoretical and applied econometrics ; v. 40
ISBN
1402078994 (hb : alk. paper)
서지주기
Includes bibliographical references (p. [145]-151) and index.
일반주제명
Economics -- Mathematical models. Markov processes.
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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 C M

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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