Hidden Markov Models Applications to Financial Economics 1st Edition by Ramaprasad Bhar, Shigeyuki Hamori 1402078994 9781402078996

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ISBN 10: 1402078994

ISBN 13: 9781402078996

Author: Ramaprasad Bhar; Shigeyuki Hamori

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.

Hidden Markov Models Applications to Financial Economics 1st Table of contents:

Introduction

Volatility in Growth Rate of Real GDP

Linkages Among G7 Stock Markets

Interplay between Industrial Production and Stock Market

Linking Inflation and Inflation Uncertainty

Exploring Permanent and Transitory Components of Stock Return

Exploring the Relationship between Coincident Financial Market Indicators

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