Electronic Resource

State space models : applications in economics and finance

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State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.

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Ketersediaan

Informasi Detail

Judul Seri

Statistics and econometrics for finance

No. Panggil

E611

Penerbit

New York : Springer., 2013

Deskripsi Fisik

xxi, 347 hlm.

Bahasa

English

ISBN/ISSN

9781461477891

Klasifikasi

NONE

Tipe Isi

text

Tipe Media

computer

Tipe Pembawa

online resource

Edisi

1

Subjek

Matematika Terapan
Statistika Bisnis

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Yong Zeng, Shu Wu

Versi lain/terkait

Lampiran Berkas

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