Hidden Markov Models: Applications to Financial Economics

摘要: List of Figures. Tables. Dedication. Acknowledgements. 1: Introduction. 1. 2. Markov Chains. 3. Passage Time. 4. Chains and the Term Structure Interest Rates. 5. State Space Methods Kalman Filter. 6. Hidden Models Experts. 7. HMM Estimation Algorithm. 8. Parameter Estimation. 9. Most Probable Sequence: Viterbi 10. Illustrative examples. 2: Volatility in Growth Rate Real GDP. Models. Data. Empirical Results. Conclusion. 3: Linkages among G7 Stock Markets. Technique. 4: Interplay between Industrial Production Market. Switching Heteroscedasticity Model Output Equity. 5: Linking Inflation Uncertainty. 6: Exploring Permanent Transitory Components Return. 7: Relationship Coincident Financial Market Indicators. Coincidence Index Model. References. Index.