přejít na obsah
State-space models : applications in economics and finance Náhled dokumentu
ZavřítNáhled dokumentu
Probíhá kontrola...

State-space models : applications in economics and finance

Autor Yong Zeng; Shu Wu
Vydavatel: New York : Springer, [2013] ©2013
Edice: Statistics and econometrics for finance.
Vydání/formát:   e-kniha : Document : EnglishZobrazit všechny vydání a formáty
Databáze:WorldCat
Shrnutí:
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 andnon-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or  Přečíst více...
Hodnocení:

(ještě nehodnoceno) 0 zobrazit recenze - Buďte první.

Předmětová hesla:
Více podobných

 

Najít online exemplář

Odkazy na tento dokument

Vyhledat exemplář v knihovně

&AllPage.SpinnerRetrieving; Vyhledávání knihoven, které vlastní tento dokument...

Detaily

Žánr/forma: Electronic books
Doplňující formát: Print version:
State-space models
(OCoLC)841495241
Typ materiálu: Document, Internetový zdroj
Typ dokumentu: Internet Resource, Computer File
Všichni autoři/tvůrci: Yong Zeng; Shu Wu
ISBN: 9781461477891 1461477891
OCLC číslo: 858626314
Popis: 1 online resource (xxi, 347 pages).
Obsahy: Particle Filtering and Parameter Learning in Nonlinear State-Space Models. Adaptive Filtering, Nonlinear State-Space Models, and Applications in Finance and Econometrics / Tze Leung Lai and Vibhav Bukkapatanam --
The Extended Liu and West Filter: Parameter Learning in Markov Switching Stochastic Volatility Models / Maria Paula Rios and Hedibert Freitas Lopes --
A Survey of Implicit Particle Filters for Data Assimilation / Alexandre J. Chorin, Matthias Morzfeld, and Xuemin Tu --
Linear State-Space Models in Macroeconomics and Finance. Model Uncertainty, State Uncertainty, and State-Space Models / Yulei Luo, Jun Nie, and Eric R. Young --
Hong Kong Inflation Dynamics: Trend and Cycle Relationships with the USA and China / Pym Manopimoke --
The State Space Representation and Estimation of a Time-Varying Parameter VAR with Stochastic Volatility / Taeyoung Doh and Michael Connolly --
A Statistical Investigation of Stock Return Decomposition Based on the State-Space Framework / Jun Ma and Mark E. Wohar --
Hidden Markov Models, Regime-Switching, and Mathematical Finance. A HMM Intensity-Based Credit Risk Model and Filtering / Robert J. Elliott and Tak Kuen Siu --
Yield Curve Modelling Using a Multivariate Higher-Order HMM / Xiaojing Xi and Rogemar Mamon --
Numerical Methods for Optimal Annuity Purchasing and Dividend Optimization Strategies under Regime-Switching Models: Review of Recent Results / Zhuo Jin and George Yin --
Trading a Mean-Reverting Asset with Regime Switching: An Asymptotic Approach / Eunju Sohn and Qing Zhang --
CPPI in the Jump-Diffusion Model / Mingming Wang and Allanus Tsoi --
Nonlinear State-Space Models for High Frequency Financial Data. An Asymmetric Information Modeling Framework for Ultra-High Frequency Transaction Data: A Nonlinear Filtering Approach / Yoonjung Lee --
Heterogenous Autoregressive Realized Volatility Model / Yazhen Wang and Xin Zhang --
Parameter Estimation via Particle MCMC for Ultra-High Frequency Models / Cai Zhu and Jian Hui Huang.
Název edice: Statistics and econometrics for finance.
Odpovědnost: Yong Zeng, Shu Wu, editors.
Více informací:

Anotace:

Applications in Economics and Finance  Přečíst více...

Recenze

Recenze redakce

Souhrn od vydavatele

From the book reviews: "The intention of this edited volume is to provide methodological development in state-space models, as well as study their applications, particularly in economics and finance. Přečíst více...

 
Recenze vložené uživatelem
Nahrávání recenzí GoodReads...
Přebírání recenzí DOGO books...

Štítky

Buďte první.
Potvrdit tento požadavek

Tento dokument jste si již vyžádali. Prosím vyberte Ok pokud chcete přesto v žádance pokračovat.

Propojená data


<http://www.worldcat.org/oclc/858626314>
library:oclcnum"858626314"
library:placeOfPublication
owl:sameAs<info:oclcnum/858626314>
rdf:typeschema:Book
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:about
schema:bookFormatschema:EBook
schema:contributor
schema:contributor
schema:datePublished"2013"
schema:description"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 andnon-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 focuseson 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."@en
schema:exampleOfWork<http://worldcat.org/entity/work/id/1414372088>
schema:genre"Electronic books."@en
schema:inLanguage"en"
schema:name"State-space models : applications in economics and finance"@en
schema:url
schema:url<http://site.ebrary.com/id/10747150>
schema:url
schema:url<http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=631115>
schema:workExample
schema:workExample

Content-negotiable representations

Zavřít okno

Prosím přihlaste se do WorldCat 

Nemáte účet? Můžete si jednoduše vytvořit bezplatný účet.